NPORT-P false 0000751199 XXXXXXXX S000007066 C000019272 C000150510 C000019275 C000019273 C000019277 C000019276 FIDELITY INCOME FUND 811-04085 0000751199 D66RCKM57LC8ELZCAY58 245 Summer Street Boston 02210 1-800-FIDELITY FIDELITY TOTAL BOND FUND S000007066 52O386XUF1CQJ82UNB64 2020-08-31 2020-02-29 N 34195133896.73 5331032894.98 28864101001.75 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 2731000085.04000000 0.00000000 0.00000000 515222035.28000000 EUR USD N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCMK9 2079402.48100000 PA USD 2209419.62000000 0.007654558927 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QV2M2 191749.83510000 PA USD 207069.21000000 0.000717393588 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 N/A 35563PGL7 8184037.61100000 PA USD 8838603.49000000 0.030621440416 Long ABS-CBDO CORP US N 2 2057-08-25 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402TFJ9 78029.33580000 PA USD 85412.98000000 0.000295914222 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NXH42 41572.79380000 PA USD 43938.44000000 0.000152225215 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402RLX5 66.93270000 PA USD 67.10000000 0.000000232468 Long ABS-MBS USGSE US N 2 2020-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31336WCW7 9564.77450000 PA USD 9651.90000000 0.000033439115 Long ABS-MBS USGSE US N 2 2021-02-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H030633 456675000.00000000 PA USD 471851862.95000000 1.634736044338 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378YKK9 563.00310000 PA USD 646.84000000 0.000002240984 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N CHS/CMNTY HEALTH SYSTEMS INC 5493007X5NC5XI1BB106 12543DBC3 9845000.00000000 PA USD 10166931.50000000 0.035223447629 Long DBT CORP US N 2 2026-03-15 Fixed 0.08000000 N N N N N N WILLIAMS COS INC D71FAKCBLFS2O0RBPG08 969457BW9 21661000.00000000 PA USD 23732162.22000000 0.082220340826 Long DBT CORP US N 2 2024-06-24 Fixed 0.04550000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200TM47 2711.96790000 PA USD 3161.38000000 0.000010952636 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N NAVIENT CORP 54930067J0ZNOEBRW338 63938CAD0 4025000.00000000 PA USD 4143818.00000000 0.014356303699 Long DBT CORP US N 2 2021-07-26 Fixed 0.06625000 N N N N N N NBK TIER 1 FINANCING 2 LTD 549300HMWSJFNREWT164 62878WAA6 670000.00000000 PA USD 682981.25000000 0.002366196161 Long EP CORP AE N 2 N N N MA FINANCECO LLC N/A 55280FAG6 1470445.80500000 PA USD 1393247.40000000 0.004826921163 Long LON CORP US N 2 2024-06-21 Variable 0.04103380 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NQ43 129550.96900000 PA USD 137715.62000000 0.000477117302 Long ABS-MBS USGA US N 2 2043-10-20 Fixed 0.03500000 N N N N N N BANCO DO BRASIL SA GRAND CAYMAN BRANCH QE0Q0253K88YAGNPE356 05958AAK4 1320000.00000000 PA USD 1315462.50000000 0.004557434509 Long EP CORP KY N 2 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XYDE4 1340257.92500000 PA USD 1449480.77000000 0.005021742301 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04500000 N N N N N N INTELSAT CONNECT FINANCE SA 549300T8SOCBO2H77X11 45827AAD5 2790000.00000000 PA USD 1646100.00000000 0.005702931817 Long DBT CORP LU N 2 2023-02-15 Fixed 0.09500000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BB5 11179000.00000000 PA USD 12416141.36000000 0.043015860286 Long DBT CORP US N 2 2024-04-01 Fixed 0.04950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J5JM2 3257216.51200000 PA USD 3563623.85000000 0.012346214592 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403RPL6 64655.51120000 PA USD 70787.32000000 0.000245243460 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GJSS9 47107.39930000 PA USD 52094.61000000 0.000180482357 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N FIDELITY BANK PLC 029200298A5K5WI0F567 316044AB2 641000.00000000 PA USD 714314.38000000 0.002474750140 Long DBT CORP NG N 2 2022-10-16 Fixed 0.10500000 N N N N N N CORPORACION NACIONAL DEL COBRE DE CHILE 549300UVMBCBCIPSUI70 21987BAX6 4170000.00000000 PA USD 4779862.50000000 0.016559886967 Long DBT CORP CL N 2 2047-08-01 Fixed 0.04500000 N N N N N N EGYPT, (ARAB) REP OF 529900GFIVH4086NMH82 03846JW30 312000.00000000 PA USD 322140.00000000 0.001116057624 Long DBT NUSS EG N 2 2023-02-21 Fixed 0.05577000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 20106000.00000000 PA USD 22380827.02000000 0.077538624946 Long DBT CORP US N 2 2025-12-15 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203GN66 124.67420000 PA USD 132.85000000 0.000000460260 Long ABS-MBS USGA US N 2 2023-06-15 Fixed 0.07500000 N N N N N N ASURION LLC 549300KNQVXGIOXWK278 04649VAV2 4605690.13000000 PA USD 4555810.51000000 0.015783656347 Long LON CORP US N 2 2023-11-03 Variable 0.04603380 N N N N N N RENAISSANCE HOLDING CORP N/A 75972JAB0 1549752.08000000 PA USD 1519733.38000000 0.005265133252 Long LON CORP US N 2 2025-05-31 Variable 0.04853380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408HA62 6187.93630000 PA USD 6814.31000000 0.000023608253 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HQ3B6 1466384.67900000 PA USD 1564767.95000000 0.005421156023 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128E3ZD9 5458.15730000 PA USD 5979.41000000 0.000020715732 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.07000000 N N N N N N HOST HOTELS and RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAT3 96000.00000000 PA USD 103969.99000000 0.000360205190 Long DBT CORP US N 2 2023-03-01 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQNK4 10673775.44420000 PA USD 11564451.84000000 0.040065172441 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ATUM0 33069.04570000 PA USD 35903.17000000 0.000124386933 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FIRSTKEY MTG TR 2015-1 N/A 33767CAP2 3357387.15520000 PA USD 3394780.05000000 0.011761253363 Long ABS-CBDO CORP US N 2 2045-03-25 Variable 0.03000000 N N N N N N ICE FUTURES EUROPE FINANCIALS N/A N/A -24.00000000 NC -39989.96000000 -0.00013854566 N/A DIR CORP GB N 1 ICE FUTURES EUROPE FINANCIALS N/A Short UNITED KINGDOM,G.B. and N.IRELAND LONG GILT FUTURE UNDERLYING 2020-06-26 -4160553.28000000 GBP -39989.96000000 N N N WILLIAMS PARTNERS LP N/A 96950FAH7 6456000.00000000 PA USD 6684953.65000000 0.023160096514 Long DBT CORP US N 2 2021-11-15 Fixed 0.04000000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAA3 4764000.00000000 PA USD 4897963.25000000 0.016969048333 Long DBT CORP IE N 2 2022-05-26 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200M7M9 7125.73760000 PA USD 7899.37000000 0.000027367455 Long ABS-MBS USGA US N 2 2034-01-15 Fixed 0.05000000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 1.00000000 NC N/A 1166118.89000000 0.004040031906 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 62597000.00000000 GBP 81570025.51000000 USD 2020-05-14 1166118.89000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36196HQJ2 454736.39480000 PA USD 484412.67000000 0.001678253100 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N WFRBS COML MTG TR 2011-C5 N/A 92936JAJ3 160000.00000000 PA USD 168478.26000000 0.000583694811 Long ABS-MBS CORP US N 2 2044-11-15 Variable 0.05660831 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379EAY3 744.69040000 PA USD 836.96000000 0.000002899657 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213J4L6 1932.65930000 PA USD 2249.31000000 0.000007792759 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 0.07000000 N N N N N N QUICKEN LOANS INC 549300FGXN1K3HLB1R50 74840LAB8 6365000.00000000 PA USD 6585865.50000000 0.022816804512 Long DBT CORP US N 2 2028-01-15 Fixed 0.05250000 N N N N N N VONOVIA FINANCE BV 5299009XLZLD9TALOZ03 N/A 1400000.00000000 PA 1638224.70000000 0.005675647753 Long EP CORP NL N 2 N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAG8 14700000.00000000 PA USD 16179328.62000000 0.056053464540 Long DBT CORP US N 2 2023-06-15 Fixed 0.05450000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMAA0 4923.17580000 PA USD 5493.16000000 0.000019031114 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N BWX TECHNOLOGIES INC 549300NP85N265KWMS58 05605HAA8 6413000.00000000 PA USD 6713160.47000000 0.023257819356 Long DBT CORP US N 2 2026-07-15 Fixed 0.05375000 N N N N N N IPALCO ENTERPRISES INC 5493000YFVK2DZX0JV43 462613AM2 6665000.00000000 PA USD 7020707.58000000 0.024323319751 Long DBT CORP US N 2 2024-09-01 Fixed 0.03700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411KKH5 14788.86070000 PA USD 15502.66000000 0.000053709138 Long ABS-MBS USGSE US N 2 2037-03-01 Variable 0.04690000 N N N N N N GS MTG SECS CORP TR 2016-RENT N/A 36251TAA4 1224000.00000000 PA USD 1241695.86000000 0.004301869162 Long ABS-MBS CORP US N 2 2021-02-10 Fixed 0.07727000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208HLA2 243.36380000 PA USD 276.50000000 0.000000957937 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y8SB7 236381.87020000 PA USD 255220.39000000 0.000884213889 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DQN4 3509.94970000 PA USD 4037.53000000 0.000013988067 Long ABS-MBS USGA US N 2 2031-11-20 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GXP0 163.03550000 PA USD 182.64000000 0.000000632758 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210EHM4 1196.27230000 PA USD 1408.65000000 0.000004880283 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31382WZJ4 8490.64900000 PA USD 9818.34000000 0.000034015748 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207CF94 263.05580000 PA USD 298.25000000 0.000001033290 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38375KVH2 11283.24230000 PA USD 21266.13000000 0.000073676744 Long ABS-CBDO USGA US N 2 2037-06-16 Variable 0.30249000 N N N N N N BX TRUST 2019 N/A 056054AA7 36352035.16000000 PA USD 36514652.35000000 0.126505420514 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.02578500 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38378YG78 7215239.69720000 PA USD 7716943.45000000 0.026735436691 Long ABS-CBDO USGA US N 2 2044-01-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203ASV9 295.09630000 PA USD 310.80000000 0.000001076770 Long ABS-MBS USGA US N 2 2023-01-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374GWG8 301.04500000 PA USD 339.03000000 0.000001174573 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9PH8 91285.12670000 PA USD 101939.39000000 0.000353170154 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.05000000 N N N N N N MOTORS LIQUIDATION COMPANY GUC TRUST N/A 62010U101 1.00000000 NS USD 8.39000000 0.000000029067 Long EC CORP US N 1 N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 N/A 2516150.00000000 PA USD 2459536.63000000 0.008521092099 Long LON CORP FR N 2 2026-08-14 Variable 0.05658500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H3LN4 1039167.80100000 PA USD 1120036.15000000 0.003880377739 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379DKU2 758.50330000 PA USD 856.35000000 0.000002966834 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209ECT7 194.30750000 PA USD 220.24000000 0.000000763023 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210U6E8 2075.49250000 PA USD 2394.56000000 0.000008295979 Long ABS-MBS USGA US N 2 2030-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C43U2 31848.76780000 PA USD 35111.27000000 0.000121643386 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31377AXW2 843.46760000 PA USD 963.06000000 0.000003336532 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31298GCJ7 58723.24680000 PA USD 67852.46000000 0.000235075604 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CRE6 738173.42400000 PA USD 795194.22000000 0.002754959248 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945WW4 10059.85040000 PA USD 11210.08000000 0.000038837447 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FT56 142.20620000 PA USD 166.03000000 0.000000575212 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N HASBRO INC 549300NUB6D2R1ITYR45 418056AX5 16110000.00000000 PA USD 16897127.83000000 0.058540287913 Long DBT CORP US N 2 2024-11-19 Fixed 0.03000000 N N N N N N RLJ LODGING TR N/A 74965L200 20725.00000000 NS USD 556673.50000000 0.001928601552 Long EP CORP US N 2 N N N KINDER MORGAN INC DEL 549300WR7IX8XE0TBO16 49456BAJ0 3092000.00000000 PA USD 3515510.75000000 0.012179526221 Long DBT CORP US N 2 2046-02-15 Fixed 0.05050000 N N N N N N GSR MTG LN TR 2007 AR1 N/A 362290AP3 68318.16000000 PA USD 64204.53000000 0.000222437310 Long ABS-CBDO CORP US N 2 2037-03-25 Variable 0.03630050 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419MBT7 45934.22510000 PA USD 49942.71000000 0.000173027076 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FLY LEASING LTD 549300LI58A0MHGHTZ98 34407DAB5 3822000.00000000 PA USD 3869775.00000000 0.013406878668 Long DBT CORP BM N 2 2021-10-15 Fixed 0.06375000 N N N N N N BCPE EMPIRE HLDGS INC 549300O2G0VI2955B626 05550HAC9 205630.93000000 PA USD 203574.62000000 0.000705286542 Long LON CORP US N 2 2026-06-11 Variable 0.05276430 N N N N N N AFFILIATED MANAGERS GRP INC 2JE75BUE3T1BLCYYGK54 008252AN8 13384000.00000000 PA USD 14466952.31000000 0.050120917707 Long DBT CORP US N 2 2025-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGYW8 1148627.17700000 PA USD 1233706.34000000 0.004274189381 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GF2Z9 480888.04220000 PA USD 532550.52000000 0.001845027218 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N GYP HOLDINGS III CORP N/A 36249VAG1 2243498.08000000 PA USD 2219201.00000000 0.007688446627 Long LON CORP US N 2 2025-06-01 Variable 0.04353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406MXG6 102364.35250000 PA USD 112607.79000000 0.000390130944 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASAF6 63444.47010000 PA USD 70551.94000000 0.000244427983 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022436 168850000.00000000 PA USD 173310020.79000000 0.600434500903 Long ABS-MBS USGA US N 2 2035-03-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390JGZ8 3084.53780000 PA USD 3651.07000000 0.000012649172 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DX55 8451.40100000 PA USD 9048.78000000 0.000031349599 Long ABS-MBS USGA US N 2 2033-05-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHNL2 215442.17070000 PA USD 229451.56000000 0.000794937489 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377RLW3 7275329.02020000 PA USD 8153539.81000000 0.028248029652 Long ABS-CBDO USGA US N 2 2040-12-20 Fixed 0.04000000 N N N N N N CTOS LLC 549300H540D09KIEYR87 90320EAE3 1532644.58000000 PA USD 1530728.77000000 0.005303226904 Long LON CORP US N 2 2025-04-18 Variable 0.05896750 N N N N N N CONSOLIDATED ENERGY FINANCE SA 549300PUNIS0USNSL750 N/A 3137681.70000000 PA USD 3063161.76000000 0.010612358097 Long LON CORP LU N 2 2025-05-07 Variable 0.04547250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203FYR0 96.84750000 PA USD 103.86000000 0.000000359824 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 0.07500000 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137LAE5 3840000.00000000 PA USD 5161649.63000000 0.017882592739 Long DBT CORP US N 2 2049-01-25 Fixed 0.05576000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419L2D4 204386.59500000 PA USD 222222.53000000 0.000769892434 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N PETROLEOS DE VENEZUELA SA 549300YWR8TN1OFD4P06 716558AC5 172000.00000000 PA USD 17630.00000000 0.000061079331 Long DBT CORP VE N 2 2022-02-17 Fixed 0.12750000 Y Y N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224YNU9 60.21100000 PA USD 63.85000000 0.000000221209 Long ABS-MBS USGA US N 2 2023-01-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F4SL1 134818.43000000 PA USD 145864.55000000 0.000505349361 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HLPT4 2523510.52380000 PA USD 2692818.90000000 0.009329301126 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N AEROVIAS DE MEXICO SA DE CV 549300TK6ZHQ3FJ26B03 008065AD6 695000.00000000 PA USD 657643.75000000 0.002278414110 Long DBT CORP MX N 2 2025-02-05 Fixed 0.07000000 N N N N N N MEXICO UNITED MEXICAN STATES 254900EGTWEU67VP6075 91086QAZ1 2950000.00000000 PA USD 3721609.38000000 0.012893557224 Long DBT NUSS MX N 2 2110-10-12 Fixed 0.05750000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAH6 4042000.00000000 PA USD 4379018.85000000 0.015171159669 Long DBT CORP US N 2 2024-04-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178GFN9 119845.72800000 PA USD 127390.87000000 0.000441347090 Long ABS-MBS USGA US N 2 2042-07-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QDA53 6630111.00000000 PA USD 6866153.56000000 0.023787865624 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 0.02500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DMA6 5589.48130000 PA USD 6394.39000000 0.000022153435 Long ABS-MBS USGA US N 2 2031-03-20 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402NQ27 81556.09070000 PA USD 89425.99000000 0.000309817340 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31296RHY7 24200.94750000 PA USD 26951.20000000 0.000093372733 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223CPB8 115.97780000 PA USD 121.50000000 0.000000420938 Long ABS-MBS USGA US N 2 2022-05-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36220UZ20 288.55480000 PA USD 304.43000000 0.000001054701 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7YN6 10945662.13570000 PA USD 11577237.79000000 0.040109469507 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N HEATHROW FUNDING LTD 7TI96JO3DYEIQWZ7Z726 N/A 3200000.00000000 PA 4945242.32000000 0.017132847199 Long DBT CORP JE N 2 2024-02-14 Fixed 0.07125000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H032639 415525000.00000000 PA USD 430484647.95000000 1.491418866376 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AY77 265180.31750000 PA USD 275672.63000000 0.000955070902 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BHB5 125078.81880000 PA USD 130027.77000000 0.000450482660 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383SFA3 57.37170000 PA USD 66.53000000 0.000000230493 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297AV35 11723.92860000 PA USD 12975.52000000 0.000044953833 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.05000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BXV9 742475.02580000 PA USD 743378.32000000 0.002575442484 Long ABS-CBDO USGA US N 2 2062-10-20 Variable 0.02254380 N N N N N N ARAMARK SERVICES INC 42YMHYH0XMHJEXDUB065 03852JAL5 3416809.37000000 PA USD 3386912.29000000 0.011733995421 Long LON CORP US N 2 2025-03-11 Variable 0.03353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379JDE3 3600.82740000 PA USD 4116.36000000 0.000014261175 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.07500000 N N N N N N NIELSEN FINANCE LLC UJ76Y189LDMPCOCW7204 65409YBE4 1732188.28000000 PA USD 1713792.44000000 0.005937453031 Long LON CORP US N 2 2023-10-04 Variable 0.03670880 N N N N N N TACONIC PARK CLO LTD 2016-1A N/A 873549AJ8 16565000.00000000 PA USD 16565000.00000000 0.057389627340 Long ABS-CBDO CORP KY N 2 2029-01-20 Variable 0.01000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379TKG8 612.51570000 PA USD 705.85000000 0.000002445425 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 0.07500000 N N N N N N CALIFORNIA ST N/A 13063A5G5 11940000.00000000 PA USD 20504084.40000000 0.071036629198 Long DBT MUN US N 2 2039-04-01 Fixed 0.07550000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209DRE6 78.01350000 PA USD 83.51000000 0.000000289321 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207V3S3 301.73250000 PA USD 337.30000000 0.000001168579 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404VFK9 108553.48080000 PA USD 119017.53000000 0.000412337560 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9NZ9 29951.34030000 PA USD 31646.33000000 0.000109639063 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223YTN0 300.51330000 PA USD 320.74000000 0.000001111207 Long ABS-MBS USGA US N 2 2023-04-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335AN53 7916117.53330000 PA USD 8551029.74000000 0.029625137950 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296QXV6 10838.31640000 PA USD 12113.46000000 0.000041967217 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.05000000 N N N N N N TELEFLEX INC UUL85LWXB4NGSWWXIQ25 879369AE6 4444000.00000000 PA USD 4632870.00000000 0.016050629810 Long DBT CORP US N 2 2026-06-01 Fixed 0.04875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176S5J5 28447.93330000 PA USD 30846.75000000 0.000106868909 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411DML0 1155.29850000 PA USD 1190.77000000 0.000004125435 Long ABS-MBS USGSE US N 2 2022-01-01 Fixed 0.06000000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 48128BAG6 8635000.00000000 PA USD 8678175.00000000 0.030065634122 Long EP CORP US N 2 N N N SOUTHERN NAT GAS CO / SOUTHN NAT ISSUING CORP N/A 84345PAB8 2323000.00000000 PA USD 2389191.03000000 0.008277378983 Long DBT CORP US N 2 2021-06-15 Fixed 0.04400000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P76P3 123556.02370000 PA USD 130529.75000000 0.000452221775 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.03500000 N N N N N N LEVEL 3 FINANCING INC N/A 527298BK8 7175000.00000000 PA USD 7157206.00000000 0.024796220050 Long DBT CORP US N 2 2024-01-15 Fixed 0.05375000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJMS6 48048.53970000 PA USD 53270.52000000 0.000184556310 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N US SALT LLC N/A 90352UAF5 749337.50000000 PA USD 745590.81000000 0.002583107680 Long LON CORP US N 3 2026-01-16 Variable 0.06353380 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QPH96 30254.66600000 PA USD 31798.11000000 0.000110164906 Long ABS-MBS USGSE US N 2 2036-07-01 Variable 0.04784000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209CWT9 1366.04170000 PA USD 1549.72000000 0.000005369022 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F030637 470025000.00000000 PA USD 484026621.73000000 1.676915631984 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03000000 N N N N N N DCP MIDSTREAM LLC VQOHU6HCVU6YY1KUKU03 23311RAH9 16107000.00000000 PA USD 14496300.00000000 0.050222593106 Long DBT CORP US N 2 2043-05-21 Variable 0.05850000 N N N N N N PROVIDENT FDG MTG TR 2019-1 N/A 74387LAE1 11014373.90000000 PA USD 11272523.29000000 0.039053782722 Long ABS-CBDO CORP US N 2 2049-12-25 Fixed 0.03000000 N N N N N N GRAND CITY PROPERTIES SA 5299002QLUYKK2WBMB18 N/A 4400000.00000000 PA 5068297.14000000 0.017559171996 Long EP CORP LU N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409HGD0 841.13980000 PA USD 856.45000000 0.000002967180 Long ABS-MBS USGSE US N 2 2021-04-01 Fixed 0.06000000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 81400000.00000000 NC USD 712905.27000000 0.002469868262 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Call Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2029-06-10 0.00000000 USD 0.00000000 USD 81400000.00000000 USD 1.00000000 2.31300000 USD 2024-06-06 XXXX -1655427.73000000 N N N IHS NETHERLANDS HOLDCO BV 5493006Z6YQYCCN2XI74 44963LAB2 1935000.00000000 PA USD 2031750.00000000 0.007039020546 Long DBT CORP NL N 2 2025-03-18 Fixed 0.07125000 N N N N N N BAMLL COML MTG SECS TR 2019 N/A 05492PAG3 1322000.00000000 PA USD 1398560.85000000 0.004845329670 Long ABS-MBS CORP US N 2 2032-11-05 Variable 0.03842500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GJNY1 14633.08700000 PA USD 15957.64000000 0.000055285421 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N MHP SE 549300HCQFAJK20XGP15 55302TAD7 800000.00000000 PA USD 840000.00000000 0.002910189373 Long DBT CORP LU N 2 2024-05-10 Fixed 0.07750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213S3Q6 2312.82230000 PA USD 2690.28000000 0.000009320505 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J6NS9 242180.14570000 PA USD 262663.74000000 0.000910001458 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179KWP5 104248.55510000 PA USD 110518.54000000 0.000382892715 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207JVH3 1635.19720000 PA USD 1840.23000000 0.000006375497 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N GS MTG SECS TR 2011-GC5 N/A 36191YAL2 623936.00000000 PA USD 627497.68000000 0.002173972714 Long ABS-MBS CORP US N 2 2044-08-10 Variable 0.05389211 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAYH4 2238498.18940000 PA USD 2364472.36000000 0.008191740875 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946QN9 432311.53980000 PA USD 478350.08000000 0.001657249189 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31298EVR3 113.95330000 PA USD 118.68000000 0.000000411168 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203BJK1 62.73260000 PA USD 65.97000000 0.000000228553 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224XBV2 453.91920000 PA USD 482.12000000 0.000001670310 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292G4T0 1800.28620000 PA USD 2031.24000000 0.000007037253 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373UM53 133.82680000 PA USD 147.75000000 0.000000511881 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31387XHN8 536.20390000 PA USD 616.10000000 0.000002134485 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293RMF5 575.42430000 PA USD 651.41000000 0.000002256817 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FVD1 349.26080000 PA USD 394.29000000 0.000001366022 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.07500000 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAQ4 17210000.00000000 PA USD 17705648.00000000 0.061341415064 Long DBT CORP US N 2 2027-12-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389H4C9 1617.29880000 PA USD 1891.52000000 0.000006553192 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DFR8 6883962.81800000 PA USD 7155199.21000000 0.024789267504 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31380WUP7 283.51170000 PA USD 318.58000000 0.000001103723 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293VUH3 5253.80220000 PA USD 5996.08000000 0.000020773486 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8K87 472840.84600000 PA USD 508035.95000000 0.001760096217 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XDC1 87798.54120000 PA USD 97132.25000000 0.000336515763 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JNYA9 246928.45740000 PA USD 267582.17000000 0.000927041413 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224CKF3 162.93890000 PA USD 171.08000000 0.000000592708 Long ABS-MBS USGA US N 2 2022-06-15 Fixed 0.08000000 N N N N N N TIME WARNER CABLE INC B1WXCWLJVJXMWJX6O298 88732JBD9 20648000.00000000 PA USD 21494142.03000000 0.074466694904 Long DBT CORP US N 2 2042-09-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A3TM6 21832.19540000 PA USD 24380.32000000 0.000084465890 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HMXS8 1044873.50000000 PA USD 1171120.34000000 0.004057359485 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.05500000 N N N N N N TUNNEL HILL PARTNERS LP N/A 89840LAC4 549845.00000000 PA USD 541597.33000000 0.001876369993 Long LON CORP US N 2 2026-02-08 Variable 0.05145250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208FZR4 650.75360000 PA USD 740.13000000 0.000002564188 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GCZ1 6915.32310000 PA USD 7623.71000000 0.000026412428 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N SPIRIT REALTY CAPITAL INC 549300LTU6LVPZSHMJ25 84860W201 18100.00000000 NS USD 459740.00000000 0.001592774359 Long EP CORP US N 1 N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M1Q44 18770.08390000 PA USD 19300.90000000 0.000066868183 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 0.06500000 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 02005NBH2 2530000.00000000 PA USD 2652376.10000000 0.009189186594 Long DBT CORP US N 2 2024-05-21 Fixed 0.03875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8WF8 1830522.15000000 PA USD 1971257.82000000 0.006829444713 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412UYR5 9835.64410000 PA USD 10899.70000000 0.000037762132 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AW6X6 937868.48030000 PA USD 1021697.79000000 0.003539683394 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N CCO HLDGS LLC/CCO HLDGS CAP CORP N/A 1248EPBM4 7122000.00000000 PA USD 7404743.40000000 0.025653816134 Long DBT CORP US N 2 2026-02-15 Fixed 0.05750000 N N N N N N EMERALD TOPCO INC 549300KISPZJ80F65D65 29102TAB8 1870312.50000000 PA USD 1864851.19000000 0.006460797756 Long LON CORP US N 2 2026-07-22 Variable 0.05103380 N N N N N N STARS GROUP HLDGS B V / STARS GROUP US CO-BORROWER LLC N/A 85572NAA6 13265000.00000000 PA USD 14259875.00000000 0.049403496056 Long DBT CORP NL N 2 2026-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180BZL8 126178.42790000 PA USD 131739.59000000 0.000456413279 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03000000 N N N N N N UBS COML MTG TR 2012-C1 N/A 90269GAQ4 595000.00000000 PA USD 494269.65000000 0.001712402717 Long ABS-MBS CORP US N 2 2045-05-10 Variable 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EBP58 80268.66760000 PA USD 87147.95000000 0.000301925045 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XCR56 11457242.69200000 PA USD 12222356.21000000 0.042344489472 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180HHK7 1178494.61120000 PA USD 1230435.35000000 0.004262856999 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296X6L3 34533.51330000 PA USD 38564.06000000 0.000133605616 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XBBR4 24217.49720000 PA USD 26580.12000000 0.000092087122 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EGKE3 7728.97620000 PA USD 8632.63000000 0.000029907842 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307UGP7 239165.96850000 PA USD 252097.48000000 0.000873394532 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210BT88 670.37990000 PA USD 764.94000000 0.000002650143 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2BE1 648867.38030000 PA USD 682506.61000000 0.002364551766 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31287LNP3 1174.71140000 PA USD 1390.65000000 0.000004817922 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.08000000 N N N N N N SSL ROBOTICS LLC N/A 78472GAA7 750000.00000000 PA USD 797100.00000000 0.002761561844 Long DBT CORP US N 2 2023-12-31 Fixed 0.09750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ACUU6 61905.45080000 PA USD 69130.69000000 0.000239504046 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N WP CPP HLDGS LLC 549300HT8KGOLU7VM426 92937JAM5 3259565.46000000 PA USD 3164483.94000000 0.010963389920 Long LON CORP US N 2 2025-04-30 Variable 0.05529670 N N N N N N BXMT 2017-FL1 LTD / BXMT 2017-FL1 LLC N/A 05607KAJ0 533000.00000000 PA USD 532998.40000000 0.001846578904 Long ABS-MBS CORP US N 2 2035-06-15 Variable 0.04358250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E1HQ3 6927.66270000 PA USD 7401.96000000 0.000025644173 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.03500000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PCV8 710000.00000000 PA USD 761253.13000000 0.002637369963 Long DBT NUSS DO N 2 2025-01-27 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ATF5 284617.91500000 PA USD 295879.31000000 0.001025077171 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 312942ME2 25889.55090000 PA USD 28249.19000000 0.000097869633 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413AXX6 30884.71810000 PA USD 32578.83000000 0.000112869720 Long ABS-MBS USGSE US N 2 2047-06-01 Variable 0.04157000 N N N N N N KOSMOS ENERGY LTD 213800YDFJ3OT9B5P157 500688AC0 2840000.00000000 PA USD 2769000.00000000 0.009593231397 Long DBT CORP US N 2 2026-04-04 Fixed 0.07125000 N N N N N N ESKOM HLDGS LTD 3789001900ED06F65111 29646AAB2 1095000.00000000 PA USD 1098593.02000000 0.003806087776 Long DBT CORP ZA N 2 2025-02-11 Fixed 0.07125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36181LT32 20573.43120000 PA USD 22288.95000000 0.000077220315 Long ABS-MBS USGA US N 2 2043-08-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HFXP9 490026.52300000 PA USD 527701.13000000 0.001828226453 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N LIBERT STREET TRUST N/A 902055AJ1 942000.00000000 PA USD 1023470.75000000 0.003545825833 Long ABS-MBS CORP US N 2 2036-02-10 Variable 0.04648500 N N N N N N MEG ENERGY CORP 5493002WXPTG5ZC1T326 552704AE8 4720000.00000000 PA USD 4452234.40000000 0.015424815758 Long DBT CORP CA N 2 2027-02-01 Fixed 0.07125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206RK21 158.12960000 PA USD 178.13000000 0.000000617133 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N EXPRO HOLDINGS US INC N/A N/A 66030.00000000 NS USD 858390.00000000 0.002973901733 Long EC CORP US N 3 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GD31 8336.82140000 PA USD 9201.24000000 0.000031877798 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JNXZ5 64023.83550000 PA USD 67377.95000000 0.000233431659 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206NB61 92.88520000 PA USD 99.30000000 0.000000344025 Long ABS-MBS USGA US N 2 2025-07-15 Fixed 0.07500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QSBV7 53749.55360000 PA USD 56112.68000000 0.000194403005 Long ABS-MBS USGSE US N 2 2036-03-01 Variable 0.04285000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AWQD2 1791303.01920000 PA USD 358123.75000000 0.001240723727 Long ABS-CBDO USGSE US N 2 2047-05-25 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203NDY1 560.84850000 PA USD 633.85000000 0.000002195980 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31397SVY7 382674.83000000 PA USD 444186.14000000 0.001538887838 Long ABS-CBDO USGSE US N 2 2032-11-25 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208GGM4 369.36320000 PA USD 420.51000000 0.000001456861 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203SLF2 454.73140000 PA USD 486.89000000 0.000001686835 Long ABS-MBS USGA US N 2 2024-01-15 Fixed 0.07500000 N N N N N N TERWIN MORTGAGE TRUST N/A 881561BU7 15831.35700000 PA USD 15531.05000000 0.000053807496 Long ABS-CBDO CORP US N 2 2034-09-25 Variable 0.02486750 N N N N N N SAMHALLSBYGGNADSBOLAGET I NORDEN AB 549300HX9MRFY47AH564 N/A 3100000.00000000 PA 3405133.76000000 0.011797123907 Long EP CORP SE N 2 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180HH27 41101.20050000 PA USD 42912.69000000 0.000148671493 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293LG40 302.93530000 PA USD 339.26000000 0.000001175370 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140K5JZ1 2442488.00000000 PA USD 2529444.48000000 0.008763288625 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375THK7 27.03390000 PA USD 29.66000000 0.000000102757 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PDKN9 124.77310000 PA USD 125.06000000 0.000000433271 Long ABS-MBS USGSE US N 2 2020-06-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417LYR0 121919.36580000 PA USD 133104.32000000 0.000461141401 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LTY2 811995.37140000 PA USD 881226.42000000 0.003053018765 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ADJ97 14560.41740000 PA USD 16176.33000000 0.000056043075 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224HPK6 561.41700000 PA USD 593.73000000 0.000002056984 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208XVY4 2993.04130000 PA USD 3409.75000000 0.000011813116 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5AR0 253610.35050000 PA USD 279589.54000000 0.000968641081 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N TURKIYE GARANTI BANKASI AS 5493002XSS7K7RHN1V37 900148AE7 1355000.00000000 PA USD 1247870.31000000 0.004323260613 Long DBT CORP TR N 2 2027-05-24 Variable 0.06125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385JJC3 133420.61330000 PA USD 154600.91000000 0.000535616577 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132Y27L4 1339454.11900000 PA USD 1433542.60000000 0.004966524333 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371AST1 1130.05770000 PA USD 1216.54000000 0.000004214716 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208DUF0 73.41250000 PA USD 81.90000000 0.000000283743 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210TSU1 353.03060000 PA USD 394.51000000 0.000001366784 Long ABS-MBS USGA US N 2 2029-06-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQL83 2213083.23160000 PA USD 2469949.61000000 0.008557167984 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ARH3 5016123.99730000 PA USD 5470171.00000000 0.018951468468 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FWL2 1713.63720000 PA USD 1954.53000000 0.000006771490 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404QQX0 43529.02890000 PA USD 47574.95000000 0.000164823945 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N GATES GLOBAL LLC 549300XI79MQJV13DW27 36740UAP7 1976257.60000000 PA USD 1936317.43000000 0.006708393342 Long LON CORP US N 2 2024-03-31 Variable 0.04353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W7C36 524139.03580000 PA USD 554128.33000000 0.001919783782 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QRQJ2 31725.44210000 PA USD 33575.86000000 0.000116323941 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03000000 N N N N N N CCRESG COMMERCIAL MORTGAGE TRUST 2016-HEAT N/A 12507GAL1 769000.00000000 PA USD 781078.99000000 0.002706056876 Long ABS-MBS CORP US N 2 2029-04-10 Variable 0.05488250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QB3Q9 30417026.42000000 PA USD 31967269.71000000 0.110750962616 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4FY1 23548.15260000 PA USD 25666.26000000 0.000088921044 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DJB8 84881.79670000 PA USD 90172.66000000 0.000312404186 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 0.03500000 N N N N N N SYNIVERSE HLDGS INC 549300CYZBHMZC8VLL59 87164GAM5 2816664.55000000 PA USD 2573727.23000000 0.008916706707 Long LON CORP US N 2 2023-03-09 Variable 0.06872500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407T5S5 6750.45290000 PA USD 7943.00000000 0.000027518612 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PDZ8 1126000.00000000 PA USD 1240711.25000000 0.004298457970 Long DBT NUSS DO N 2 2028-07-19 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946SE7 9375.95150000 PA USD 10447.98000000 0.000036197143 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.05000000 N N N N N N INDIKA ENERGY CAPITAL II PTE LTD N/A 45569EAA5 3261000.00000000 PA USD 3235140.27000000 0.011208179564 Long DBT CORP SG N 2 2022-04-10 Fixed 0.06875000 N N N N N N FIRST QUANTUM MINERALS LTD 549300I7UVBGWRYMYZ18 335934AL9 695000.00000000 PA USD 660250.00000000 0.002287443492 Long DBT CORP CA N 2 2025-04-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AGW4 110.88940000 PA USD 120.72000000 0.000000418235 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417TGA0 42327.25510000 PA USD 46906.36000000 0.000162507607 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374SBM2 27.95980000 PA USD 30.85000000 0.000000106880 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMK84 41692.87530000 PA USD 46441.76000000 0.000160897995 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.05000000 N N N N N N TELESAT LLC N/A 87951YAU5 1125000.00000000 PA USD 1108125.00000000 0.003839111427 Long LON CORP US N 2 2026-11-22 Variable 0.04360000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810SG4 33240000.00000000 PA USD 42336602.66000000 0.146675632327 Long DBT UST US N 2 2049-02-15 Fixed 0.01000000 N N N N N LIBERTY PPTY LTD PARTNERSHIP 549300N6GNCW2Y4RH795 53117CAN2 9480000.00000000 PA USD 10017690.05000000 0.034706398960 Long DBT CORP US N 2 2022-06-15 Fixed 0.04125000 N N N N N N HD SUPPLY INC 549300G8FYZDYZMZED76 42206JAT9 629037.50000000 PA USD 626156.51000000 0.002169326215 Long LON CORP US N 2 2023-10-17 Variable 0.03353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W4Y70 184868.72610000 PA USD 195966.17000000 0.000678926982 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N JPMDB COML MTG SECS TR 2018-C8 N/A 46591AAG0 406000.00000000 PA USD 384497.55000000 0.001332096052 Long ABS-MBS CORP US N 2 2051-06-15 Variable 0.03244357 N N N N N N CHESAPEAKE ENERGY CORP X2MT1W32SPAZ9WSKLE78 165167CZ8 10099000.00000000 PA USD 3029700.00000000 0.010496429456 Long DBT CORP US N 2 2027-06-15 Fixed 0.08000000 N N N N N N GTH FINANCE BV 72450009205A34CIJN40 36251BAB1 1960000.00000000 PA USD 2185086.40000000 0.007570256215 Long DBT CORP NL N 2 2023-04-26 Fixed 0.07250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EYLA7 400941.04300000 PA USD 430889.45000000 0.001492821307 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N RHP HOTEL PROPERTIES LP 549300SJMSMA2471GA96 74958NAG1 578378.25000000 PA USD 578378.25000000 0.002003797900 Long LON CORP US N 2 2024-05-11 Variable 0.03610000 N N N N N N PETKIM PETROKIMYA HLDG AS 529900XZCVZOEYWNBQ67 71638YAA4 3073000.00000000 PA USD 3050912.81000000 0.010569921473 Long DBT CORP TR N 2 2023-01-26 Fixed 0.05875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290YKU1 5753.38110000 PA USD 6501.85000000 0.000022525731 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403EDZ7 27644.73820000 PA USD 29052.44000000 0.000100652502 Long ABS-MBS USGSE US N 2 2033-10-01 Variable 0.04263000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396W3J3 3236416.13000000 PA USD 709346.36000000 0.002457538379 Long ABS-CBDO USGSE US N 2 2037-08-25 Variable 0.04918250 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAA3 3430000.00000000 PA USD 3464643.00000000 0.012003294333 Long DBT CORP US N 2 2026-12-01 Fixed 0.04250000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAB8 8080000.00000000 PA USD 8282000.00000000 0.028693081414 Long DBT CORP US N 2 2027-02-15 Fixed 0.05625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FKS5 886.83100000 PA USD 1035.42000000 0.000003587224 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N CHARTER COMM OPER LLC/CAP CORP N/A 161175AY0 13008000.00000000 PA USD 14574891.26000000 0.050494873403 Long DBT CORP US N 2 2025-07-23 Fixed 0.04908000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A2ME6 297250.58600000 PA USD 323051.05000000 0.001119213967 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205YQS4 727.72480000 PA USD 812.27000000 0.000002814118 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N EG GLOBAL FINANCE PLC 549300TL8Q5207VYET27 28228PAB7 7885000.00000000 PA USD 8119184.50000000 0.028129005297 Long DBT CORP GB N 2 2025-10-30 Fixed 0.08500000 N N N N N N AVIVA PLC YF0Y5B0IB8SM0ZFG9G81 N/A 9240000.00000000 PA 12863212.62000000 0.044564743655 Long EP CORP GB N 2 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DRS2 1011524.28760000 PA USD 1056106.01000000 0.003658891056 Long ABS-MBS USGA US N 2 2042-12-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AC3Z5 16088.02360000 PA USD 17965.72000000 0.000062242437 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297AEG4 16939.02820000 PA USD 18931.93000000 0.000065589882 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203YLX0 963.48770000 PA USD 1011.24000000 0.000003503452 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XXD48 163032.60000000 PA USD 175599.15000000 0.000608365214 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407JPK2 4463.24750000 PA USD 5223.85000000 0.000018098086 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N ALLEGHENY TECHNOLOGIES INC ZW1LRE7C3H17O2ZN9B45 01741RAH5 4080000.00000000 PA USD 4090200.00000000 0.014170543540 Long DBT CORP US N 2 2027-12-01 Fixed 0.05875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412PG70 2985.57870000 PA USD 3308.57000000 0.000011462577 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209KPG7 728.88720000 PA USD 823.28000000 0.000002852262 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N PETROLEOS DE VENEZUELA SA 549300YWR8TN1OFD4P06 N/A 621100.00000000 PA USD 63662.75000000 0.000220560307 Long DBT CORP VE N 2 2027-04-12 Fixed 0.05375000 Y Y N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418A6M5 294207.79200000 PA USD 305848.62000000 0.001059615956 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AMW7 245.43880000 PA USD 260.85000000 0.000000903717 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LHQ2 30163.00470000 PA USD 33447.84000000 0.000115880414 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 0.05000000 N N N N N N CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP N/A 226373AL2 8235000.00000000 PA USD 7824897.00000000 0.027109442970 Long DBT CORP US N 2 2023-04-01 Fixed 0.06250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36217W2E1 1084.36970000 PA USD 1149.82000000 0.000003983564 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QA6X3 1450958.76000000 PA USD 1520157.45000000 0.005266602448 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 0.03000000 N N N N N N ADAMS HOMES INC N/A 00623PAA9 505000.00000000 PA USD 515100.00000000 0.001784569697 Long DBT CORP US N 2 2025-02-15 Fixed 0.07500000 N N N N N N PROVINCE OF SANTA FE N/A 74409AAC3 3389000.00000000 PA USD 2677310.00000000 0.009275570369 Long DBT NUSS AR N 2 2023-03-23 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208TX21 2891.59420000 PA USD 3285.28000000 0.000011381889 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BF7 10365000.00000000 PA USD 10387803.00000000 0.035988659405 Long DBT CORP CA N 2 2023-01-15 Fixed 0.06125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417KXP7 17120.00240000 PA USD 18972.10000000 0.000065729052 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04500000 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08579JBF8 4477500.00000000 PA USD 4397263.20000000 0.015234367423 Long LON CORP US N 2 2026-07-01 Variable 0.03670880 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208NK77 183.92700000 PA USD 209.40000000 0.000000725468 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N VFU FUNDING (VF UKRAINE) N/A 918212AA9 200000.00000000 PA USD 197000.00000000 0.000682508698 Long DBT CORP UA N 2 2025-02-11 Fixed 0.06200000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137A7WV8 1513210.00000000 PA USD 1683427.66000000 0.005832253912 Long ABS-CBDO USGSE US N 2 2041-03-15 Fixed 0.05000000 N N N N N N DBUBS 2011-LC1 MTG TR N/A 233050AL7 2273000.00000000 PA USD 2211536.72000000 0.007661893643 Long ABS-MBS CORP US N 2 2046-11-10 Fixed 0.04652000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAH2 2337000.00000000 PA USD 1777054.80000000 0.006156626183 Long DBT CORP US N 2 2025-02-01 Fixed 0.06125000 N N N N N N AVOLON TLB BORROWER 1 US LLC 635400O84AGITYFZQB55 N/A 3411938.66300000 PA USD 3372121.34000000 0.011682752010 Long LON CORP US N 2 2025-01-15 Variable 0.03397000 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBF5 101718000.00000000 PA USD 108711112.50000000 0.376630862306 Long DBT CORP NL N 2 2030-01-15 Fixed 0.05093000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VHS2 40550000.00000000 PA USD 41993296.15000000 0.145486243092 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 0.03000000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 N/A 1.00000000 NC N/A 18444.26000000 0.000063900344 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 2999428.96000000 USD 2722000.00000000 EUR 2020-05-14 18444.26000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 3128FQ4A7 1693.03490000 PA USD 1954.06000000 0.000006769862 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207BR85 1030.63520000 PA USD 1176.89000000 0.000004077348 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07500000 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAH6 18497000.00000000 PA USD 20653592.61000000 0.071554602060 Long DBT CORP US N 2 2029-05-15 Fixed 0.04125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375HDC5 457.36850000 PA USD 502.43000000 0.000001740674 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224TTW0 51.67910000 PA USD 54.18000000 0.000000187707 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07000000 N N N N N N APTEAN INC 549300D5LUPGZUDZXC96 N/A 992500.00000000 PA USD 989194.98000000 0.003427077046 Long LON CORP US N 2 2026-04-23 Variable 0.06194630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176PQM1 48621.56530000 PA USD 52994.97000000 0.000183601664 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAF6 4522000.00000000 PA USD 5053228.82000000 0.017506967633 Long DBT CORP US N 2 2029-07-15 Fixed 0.03850000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128K8UH7 75721.43920000 PA USD 88768.64000000 0.000307539943 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379AM36 760.02900000 PA USD 874.17000000 0.000003028571 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 N/A 1421000.00000000 PA 1595184.98000000 0.005526536163 Long DBT CORP MX N 2 2025-11-24 Fixed 0.03625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297G5W6 3823.57340000 PA USD 4361.86000000 0.000015111712 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H7BY2 1102228.78500000 PA USD 1191160.24000000 0.004126787943 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335AFU7 4982675.25600000 PA USD 5386981.98000000 0.018663259180 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389DG43 4381.80870000 PA USD 5034.55000000 0.000017442254 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FJ99 1357.06110000 PA USD 1565.68000000 0.000005424315 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N DISH DBS CORP N/A 25470XAW5 8151000.00000000 PA USD 8360725.23000000 0.028965825852 Long DBT CORP US N 2 2024-11-15 Fixed 0.05875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A56L8 21571.35290000 PA USD 23834.99000000 0.000082576588 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.04500000 N N N N N N CHICAGO IL N/A 1674856E6 715000.00000000 PA USD 736464.30000000 0.002551488785 Long DBT MUN US N 2 2022-01-01 Fixed 0.05630000 N N N N N N TRIVIUM PACKAGING FINANCE BV 724500GMZWW3PVYET548 89686QAA4 6690000.00000000 PA USD 6932525.88000000 0.024017813267 Long DBT CORP NL N 2 2026-08-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BD88 205.38770000 PA USD 231.14000000 0.000000800787 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206K7A3 452.19410000 PA USD 503.61000000 0.000001744762 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FT44 24936.83040000 PA USD 27870.69000000 0.000096558316 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312940LA5 70536.27000000 PA USD 79108.24000000 0.000274071380 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.05000000 N N N N N N SERVICE CORP INTERNATIONAL INC 549300RKVM2ME20JHZ15 817565CE2 2220000.00000000 PA USD 2400375.00000000 0.008316125972 Long DBT CORP US N 2 2029-06-01 Fixed 0.05125000 N N N N N N MOROCCO KINGDOM OF 529900F3MBW9XY5K1X07 617726AG9 200000.00000000 PA USD 253875.00000000 0.000879552770 Long DBT NUSS MA N 2 2042-12-11 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180C5Q8 6360390.41680000 PA USD 6775152.75000000 0.023472592302 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FNG8 2278.51930000 PA USD 2660.28000000 0.000009216569 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AXL66 75561.66150000 PA USD 82315.57000000 0.000285183210 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N ALTICE FING SA 549300DIYGW8HVDF7Q17 N/A 929552.05000000 PA USD 896441.41000000 0.003105731267 Long LON CORP LU N 2 2025-07-15 Variable 0.04411860 N N N N N N IHEARTCOMMUNICATIONS INC 54930076J6KDZL504O62 45174HBC0 78393.00000000 PA USD 84248.96000000 0.000291881462 Long DBT CORP US N 2 2026-05-01 Fixed 0.06375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176RCJ9 40315.54170000 PA USD 43941.84000000 0.000152236995 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AHNV4 16700.62410000 PA USD 18193.37000000 0.000063031133 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N TIME WARNER CABLE INC B1WXCWLJVJXMWJX6O298 88732JBA5 12918000.00000000 PA USD 13276190.43000000 0.045995509886 Long DBT CORP US N 2 2021-09-01 Fixed 0.04000000 N N N N N N EUREX DEUTSCHLAND N/A N/A 13.00000000 NC 19468.64000000 0.000067449320 N/A DIR CORP DE N 1 EUREX DEUTSCHLAND N/A Long GERMANY FEDERAL REPUBLIC OF EURO-BOBL FUT UNDERLYING 2020-03-06 1938076.21000000 EUR 19468.64000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 31293TZU4 1482.02590000 PA USD 1687.92000000 0.000005847817 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.06000000 N N N N N N FLEX ACQUISITION COMPANY INC 549300HHED2KGPBEDW39 33936YAC9 2935000.00000000 PA USD 2979025.00000000 0.010320865353 Long DBT CORP US N 2 2026-07-15 Fixed 0.07875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293J4H9 97.66110000 PA USD 108.24000000 0.000000374998 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AVUY9 314569.54290000 PA USD 341529.16000000 0.001183231585 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AHTW0 774259.46230000 PA USD 129494.66000000 0.000448635694 Long ABS-CBDO USGSE US N 2 2044-01-25 Variable 0.04423250 N N N N N N DBUBS 2011-LC1 MTG TR N/A 233050AJ2 2136000.00000000 PA USD 2179485.33000000 0.007550851245 Long ABS-MBS CORP US N 2 2046-11-10 Variable 0.05688212 N N N N N N NATIONAL FINL PARTNERS CORP VO2L9FZNXDJNQNEYH039 62910PAF0 1250000.00000000 PA USD 1212500.00000000 0.004200719779 Long LON CORP US N 2 2027-02-03 Variable 0.04902750 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AXRF2 1049304.56640000 PA USD 111169.31000000 0.000385147314 Long ABS-CBDO USGSE US N 2 2033-01-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9VX6 5153.74600000 PA USD 5688.12000000 0.000019706555 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N REYNOLDS GROUP HLDGS INC 5493002QNV81KCX40V06 76173FAU1 10570552.23700000 PA USD 10453853.34000000 0.036217491545 Long LON CORP US N 2 2023-02-05 Variable 0.04353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378QCN9 395.46210000 PA USD 455.18000000 0.000001576976 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ATCR9 31411.31760000 PA USD 33561.85000000 0.000116275403 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194CS46 9567496.80580000 PA USD 10203354.56000000 0.035349635727 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N CHS/CMNTY HEALTH SYSTEMS INC 5493007X5NC5XI1BB106 12543DAY6 6288000.00000000 PA USD 6299821.44000000 0.021825801675 Long DBT CORP US N 2 2023-03-31 Fixed 0.06250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QW7M5 471039.72390000 PA USD 506169.87000000 0.001753631162 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386L4T6 41687.45830000 PA USD 47950.37000000 0.000166124591 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203HAP6 92.26550000 PA USD 97.83000000 0.000000338933 Long ABS-MBS USGA US N 2 2023-02-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203FFT7 28.37660000 PA USD 30.53000000 0.000000105771 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179T7K5 61118952.23400000 PA USD 64353489.42000000 0.222953382182 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176LYS8 74205.56090000 PA USD 80741.06000000 0.000279728303 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E95D4 175437.14660000 PA USD 185529.38000000 0.000642768607 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223VRF5 647.72610000 PA USD 676.09000000 0.000002342321 Long ABS-MBS USGA US N 2 2022-03-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BDR4 171844.42920000 PA USD 178643.75000000 0.000618913265 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASEM7 18760.91630000 PA USD 20862.64000000 0.000072278849 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9PM7 30926.81290000 PA USD 34536.41000000 0.000119651777 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31377GQ23 166.24320000 PA USD 187.97000000 0.000000651224 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N CHARTER COMM OPERATING LLC 549300TPZNMN50BJ3745 16117LBX6 14757053.09000000 PA USD 14535697.29000000 0.050359085457 Long LON CORP US N 2 2027-02-01 Variable 0.03360000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QR6J4 95684.30140000 PA USD 101324.99000000 0.000351041558 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396LMA5 219515.36240000 PA USD 45829.01000000 0.000158775116 Long ABS-CBDO USGSE US N 2 2036-11-25 Variable 0.05053250 N N N N N N TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN N/A 87612BBJ0 3705000.00000000 PA USD 3816520.50000000 0.013222377858 Long DBT CORP US N 2 2026-04-15 Fixed 0.05875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ENRB7 1345660.28220000 PA USD 1488715.14000000 0.005157670214 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4W71 14705.27090000 PA USD 15959.05000000 0.000055290306 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N TRANSDIGM UK HOLDINGS PLC 549300JTYP71LZZSE903 89365DAB9 1760000.00000000 PA USD 1848000.00000000 0.006402416620 Long DBT CORP GB N 2 2026-05-15 Fixed 0.06875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180UE88 13800.81550000 PA USD 14413.38000000 0.000049935315 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03000000 N N N N N N NIELSEN CO LUXEMBOURG SARL 549300MFMRJBOPHHM352 65410CAC4 9159000.00000000 PA USD 9044512.50000000 0.031334814479 Long DBT CORP LU N 2 2025-02-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208XNW7 344.15230000 PA USD 391.42000000 0.000001356078 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208CU39 660.59770000 PA USD 749.76000000 0.000002597551 Long ABS-MBS USGA US N 2 2027-05-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L7VF3 7247676.84190000 PA USD 7647755.85000000 0.026495735479 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283HSW6 1551.66150000 PA USD 1802.09000000 0.000006243360 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.06500000 N N N N N N REGENCY ENERGY PARTNERS LP / REGENCY ENERGY FIN CORP N/A 75886AAL2 7228000.00000000 PA USD 7716824.51000000 0.026735024622 Long DBT CORP US N 2 2022-03-01 Fixed 0.05875000 N N N N N N PFC ACQUISITION CORP N/A 69345YAB0 2109062.50000000 PA USD 1699904.38000000 0.005889337692 Long LON CORP US N 2 2026-03-01 Variable 0.08170750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FUCZ9 150835.01000000 PA USD 162816.33000000 0.000564078992 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.04500000 N N N N N N FORD MTR CR CO LLC UDSQCVRUX5BONN0VY111 N/A 1000000.00000000 PA 1356014.67000000 0.004697927955 Long DBT CORP US N 2 2025-03-06 Fixed 0.04535000 N N N N N N BRAZIL, FEDERATIVE REPUBLIC OF 254900ZFY40OYEADAP90 105756CB4 3895000.00000000 PA USD 4122614.06000000 0.014282842412 Long DBT NUSS BR N 2 2050-01-14 Fixed 0.04750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WDCX0 7097836.39360000 PA USD 7594009.94000000 0.026309532174 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N ADVANCED DRAINAGE SYSTEMS INC N/A 00769QAG8 1157589.29000000 PA USD 1150354.36000000 0.003985415516 Long LON CORP US N 2 2026-07-31 Variable 0.03937500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292LW50 194194.52120000 PA USD 204428.77000000 0.000708245754 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03000000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CC4 1080000.00000000 PA USD 1126029.60000000 0.003901142113 Long DBT CORP US N 2 2027-01-15 Fixed 0.06625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283HRW7 316.32650000 PA USD 371.52000000 0.000001287135 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.08000000 N N N N N N MORGAN STANLEY CAP I TR 2016-BNK2 N/A 61690YAC6 1456000.00000000 PA USD 1386865.04000000 0.004804809406 Long ABS-MBS CORP US N 2 2049-11-15 Fixed 0.03000000 N N N N N N TELECOM ITALIA CAP 549300777DJZOR5C4L39 87927VAF5 885000.00000000 PA USD 1025874.30000000 0.003554152959 Long DBT CORP LU N 2 2033-11-15 Fixed 0.06375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404WH25 53635.29810000 PA USD 58872.36000000 0.000203963948 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JWS3 75596.45870000 PA USD 82193.44000000 0.000284760090 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N TBC BANK JSC 2138001MSA39Q44QTA18 48128XAA1 340000.00000000 PA USD 355406.25000000 0.001231308918 Long DBT CORP GE N 2 2024-06-19 Fixed 0.05750000 N N N N N N FOUR SEASONS HLDGS INC 549300KN76IMZYPMJC43 35100DAR7 4506314.99400000 PA USD 4423714.24000000 0.015326007346 Long LON CORP CA N 2 2023-11-30 Variable 0.03603380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223V4D5 105.21640000 PA USD 109.21000000 0.000000378359 Long ABS-MBS USGA US N 2 2022-02-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404UKL3 103954.73130000 PA USD 113616.41000000 0.000393625320 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46625HJD3 14045000.00000000 PA USD 14800291.50000000 0.051275775050 Long DBT CORP US N 2 2022-01-24 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31397KMB4 406275.73300000 PA USD 403295.05000000 0.001397220200 Long ABS-CBDO USGSE US N 2 2037-05-15 Variable 0.01908500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VBV5 345535.53060000 PA USD 377950.84000000 0.001309414902 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.04500000 N N N N N N LIGHTSTONE HOLDCO LLC N/A 53226GAH4 164139.21000000 PA USD 144751.09000000 0.000501491766 Long LON CORP US N 2 2024-01-30 Variable 0.05353380 N N N N N N MORGAN STANLEY CAP CITIGROUP TR 2016-SNR N/A 61691CAQ2 561000.00000000 PA USD 558442.12000000 0.001934728956 Long ABS-MBS CORP US N 2 2034-11-15 Fixed 0.06808700 N N N N N N GOLDEN NUGGET INC 91D14OD6M4H1RVBN7R43 51508PAG9 8982341.78500000 PA USD 8793353.31000000 0.030464670662 Long LON CORP US N 2 2023-10-04 Variable 0.04119910 N N N N N N BANK OF AMER MERRILL LYNCH COML MTG TR 2017-BNK3 N/A 06427DAC7 1222000.00000000 PA USD 1169633.02000000 0.004052206649 Long ABS-MBS CORP US N 2 2050-02-15 Fixed 0.03250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180UE96 25979.11900000 PA USD 27172.83000000 0.000094140572 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W0F53 169814.88840000 PA USD 175754.16000000 0.000608902248 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208PTC2 134.95540000 PA USD 149.80000000 0.000000518983 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06053FAA7 7314000.00000000 PA USD 7920387.21000000 0.027440269868 Long DBT CORP US N 2 2023-07-24 Fixed 0.04100000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312972TF9 71.36610000 PA USD 71.73000000 0.000000248509 Long ABS-MBS USGSE US N 2 2020-07-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209PB30 398.86330000 PA USD 454.02000000 0.000001572957 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374N5Y4 1290.98510000 PA USD 1423.63000000 0.000004932182 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1 N/A 14855MAA6 19394325.23000000 PA USD 19949553.73000000 0.069115451504 Long ABS-CBDO CORP US N 2 2039-04-15 Fixed 0.03967000 N N N N N N RODAN and FIELDS LLC N/A 77484UAB2 756388.65000000 PA USD 525690.11000000 0.001821259251 Long LON CORP US N 2 2025-06-15 Variable 0.05658500 N N N N N N KRONOS INC 5493000E2HBSA8M27B95 50105JAL1 4746000.00000000 PA USD 4756393.74000000 0.016478579186 Long LON CORP US N 2 2024-11-01 Variable 0.10013250 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31294BLF0 4364.18530000 PA USD 5109.01000000 0.000017700222 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 0.07500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128NFKN6 88100.67510000 PA USD 92017.07000000 0.000318794165 Long ABS-MBS USGSE US N 2 2036-10-01 Variable 0.04077000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFG50 5759.60020000 PA USD 6455.94000000 0.000022366676 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QRQ94 82139.41220000 PA USD 87007.28000000 0.000301437692 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375V2Q5 144.92490000 PA USD 150.31000000 0.000000520750 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 0.07500000 N N N N N N ZAYO GROUP LLC/ZAYO CAP INC N/A 989194AP0 3806000.00000000 PA USD 3891635.00000000 0.013482612882 Long DBT CORP US N 2 2027-01-15 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GMT4 1717.98200000 PA USD 1981.80000000 0.000006865968 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.07500000 N N N N N N SPRINGER NATURE DEUTSCHLAND GMBH 549300WM0X4AUT710770 N/A 3467657.92800000 PA USD 3473726.33000000 0.012034763631 Long LON CORP DE N 2 2024-08-24 Variable 0.05103380 N N N N N N UKRAINE RAILWAYS VIA SHORTLINE PLC 213800HACLR54J8QCO54 N/A 978000.00000000 PA USD 1012230.00000000 0.003506882129 Long DBT CORP GB N 2 2021-09-15 Fixed 0.09875000 N N N N N N WELLS FARGO COML MTG TR 2012-LC5 N/A 94988HAR2 869082.00000000 PA USD 884057.93000000 0.003062828563 Long ABS-MBS CORP US N 2 2045-10-15 Variable 0.04759707 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211KNK6 2893.10870000 PA USD 3326.37000000 0.000011524245 Long ABS-MBS USGA US N 2 2030-01-15 Fixed 0.07000000 N N N N N N WP CPP HLDGS LLC 549300HT8KGOLU7VM426 92937JAP8 319000.00000000 PA USD 296670.00000000 0.001027816525 Long LON CORP US N 2 2026-04-30 Variable 0.09530000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAQ7 16816000.00000000 PA USD 17311142.08000000 0.059974644902 Long DBT CORP US N 2 2022-02-01 Fixed 0.03750000 N N N N N N EG AMERICA LLC 549300BY1CRYVPEG9R57 N/A 915698.20000000 PA USD 888611.85000000 0.003078605669 Long LON CORP US N 2 2025-02-06 Variable 0.05960500 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022634 72700000.00000000 PA USD 74136166.69000000 0.256845576744 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XCSD8 9892543.04500000 PA USD 10905850.08000000 0.037783439294 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224PWD6 222.74640000 PA USD 238.12000000 0.000000824969 Long ABS-MBS USGA US N 2 2023-06-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XWUS8 303040.79500000 PA USD 326588.58000000 0.001131469779 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N CPM HLDGS INC 549300FBUISJCXV8IB65 12654NAE3 280000.00000000 PA USD 274136.80000000 0.000949750002 Long LON CORP US N 2 2026-11-15 Variable 0.09853380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GKM1 464.67730000 PA USD 529.41000000 0.000001834146 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JNAA8 1607449.43800000 PA USD 1801669.52000000 0.006241904155 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179S2R7 52454931.17300000 PA USD 56025533.09000000 0.194101084549 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376KAQ9 47948.20020000 PA USD 52450.30000000 0.000181714649 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BT7 2210000.00000000 PA USD 2193425.00000000 0.007599145387 Long DBT CORP CA N 2 2027-04-15 Fixed 0.07875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GN6X6 170909.91200000 PA USD 184752.90000000 0.000640078483 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208DB38 145.39620000 PA USD 162.29000000 0.000000562255 Long ABS-MBS USGA US N 2 2027-03-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207JXS7 392.62100000 PA USD 441.85000000 0.000001530794 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N 8TH AVENUE FOOD and PROVISIONS INC 549300PBCACU45IZ2V05 28253PAC3 500940.00000000 PA USD 498224.91000000 0.001726105760 Long LON CORP US N 2 2025-10-01 Variable 0.05402750 N N N N N N MARSH and MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748AR3 4517000.00000000 PA USD 4689122.81000000 0.016245518298 Long DBT CORP US N 2 2021-07-15 Fixed 0.04800000 N N N N N N CITIZENS FINANCIAL GRP INC 2138004JDDA4ZQUPFW65 75524RAA7 10185000.00000000 PA USD 10796944.44000000 0.037406134489 Long DBT CORP US N 2 2022-09-28 Fixed 0.04150000 N N N N N N TWIN RIVER WORLDWIDE HOLDINGS INC 549300NS4D5IK406VT62 90171VAA3 3470000.00000000 PA USD 3615063.35000000 0.012524427314 Long DBT CORP US N 2 2027-06-01 Fixed 0.06750000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CU7 5678000.00000000 PA USD 5750354.41000000 0.019922167018 Long DBT CORP US N 2 2021-08-13 Fixed 0.02600000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203CQS4 181.80230000 PA USD 192.45000000 0.000000666745 Long ABS-MBS USGA US N 2 2023-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31382GHR1 94.90930000 PA USD 108.09000000 0.000000374479 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208XM81 666.48830000 PA USD 757.39000000 0.000002623986 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N ARGENTINA REPUBLIC OF 549300KPBYGYF7HCHO27 040114HK9 6185000.00000000 PA USD 2895353.13000000 0.010030983226 Long DBT NUSS AR N 2 2022-01-26 Fixed 0.05625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31287QND9 126.31550000 PA USD 146.94000000 0.000000509075 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.06500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38380GF25 3554127.01500000 PA USD 3666396.56000000 0.012702271793 Long ABS-CBDO USGA US N 2 2046-11-20 Fixed 0.02500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCQ3 36590000.00000000 PA USD 38328025.00000000 0.132787870294 Long DBT CORP MX N 2 2027-01-23 Fixed 0.06490000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQAX0 2119115.89900000 PA USD 2240363.87000000 0.007761765626 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297DWW3 13930.07460000 PA USD 15196.12000000 0.000052647127 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KKS6 64408.35240000 PA USD 71744.50000000 0.000248559620 Long ABS-MBS USGA US N 2 2036-03-15 Fixed 0.05000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GCY4 2815000.00000000 PA USD 2867781.25000000 0.009935460140 Long DBT CORP US N 2 2026-01-01 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A2AX7 590846.47570000 PA USD 642130.18000000 0.002224667173 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223RA62 19.17400000 PA USD 19.94000000 0.000000069082 Long ABS-MBS USGA US N 2 2022-02-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297R6H5 1205.71520000 PA USD 1354.71000000 0.000004693407 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XUFN7 460272.42240000 PA USD 507469.82000000 0.001758134853 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 0.05000000 N N N N N N AASET 2019-2 TR N/A 00038RAA4 23842095.74000000 PA USD 24047514.47000000 0.083312882214 Long ABS-CBDO CORP US N 2 2039-10-16 Fixed 0.03376000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EL80 83090.11440000 PA USD 90341.03000000 0.000312987506 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374NSA1 718.16620000 PA USD 781.88000000 0.000002708831 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128NHLY7 15831.05290000 PA USD 16537.11000000 0.000057293002 Long ABS-MBS USGSE US N 2 2035-11-01 Variable 0.03390000 N N N N N N CONSUMER LENDING RECEIVABLES TRUST 2019-A CLRT 2019-A N/A 21053QAA2 3792021.48200000 PA USD 3829582.21000000 0.013267630298 Long ABS-CBDO CORP US N 2 2026-04-15 Fixed 0.03520000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200WJK8 5104.75010000 PA USD 5753.88000000 0.000019934381 Long ABS-MBS USGA US N 2 2034-04-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200YMP9 841.99780000 PA USD 977.78000000 0.000003387529 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203C3X8 142.66850000 PA USD 158.67000000 0.000000549713 Long ABS-MBS USGA US N 2 2026-04-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AABG2 84877.38100000 PA USD 92326.25000000 0.000319865323 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04000000 N N N N N N CARVANA AUTO RECEIVABLES TR 2019-4 N/A 14686YAD9 4520000.00000000 PA USD 4559378.24000000 0.015796016788 Long ABS-CBDO CORP US N 2 2023-09-15 Fixed 0.02300000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RGC2 1982.81650000 PA USD 2268.63000000 0.000007859693 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N WINDSTREAM SERVICES LLC 549300L3SXBFJVGRCF66 97381JAB9 1500000.00000000 PA USD 1499070.00000000 0.005193544742 Long LON CORP US N 2 2021-02-26 Variable 0.04110000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KXY9 2218.97690000 PA USD 2529.31000000 0.000008762822 Long ABS-MBS USGA US N 2 2038-12-15 Fixed 0.05500000 N N N N N N COLOMBIA TELECOMUNICACIONES S A ESP 549300CK4YN0V1C3MN55 19533PAA8 1841000.00000000 PA USD 1852966.50000000 0.006419623115 Long DBT CORP CO N 2 2022-09-27 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QB4F2 30415012.59100000 PA USD 31784564.11000000 0.110117977026 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224UP92 1270.49210000 PA USD 1344.93000000 0.000004659524 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AVK3 503.02810000 PA USD 566.72000000 0.000001963407 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.08000000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2014-150E N/A 61764BAL7 418000.00000000 PA USD 455141.98000000 0.001576844468 Long ABS-MBS CORP US N 2 2032-09-09 Variable 0.04295030 N N N N N N OWENS BROCKWAY GLASS CONT INC V2UQUCDZJ9WY98W8QU33 690872AB2 2504000.00000000 PA USD 2627397.12000000 0.009102646639 Long DBT CORP US N 2 2025-01-15 Fixed 0.05375000 N N N N N N GS MTG SECS TR 2011-GC5 N/A 36191YAJ7 908923.00000000 PA USD 943158.86000000 0.003267584394 Long ABS-MBS CORP US N 2 2044-08-10 Variable 0.05389211 N N N N N N DRYDEN 76 CLO LTD N/A 26252WAA7 7513000.00000000 PA USD 7515253.90000000 0.026036680995 Long ABS-CBDO CORP KY N 2 2032-10-20 Variable 0.03264000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713AZ9 2874000.00000000 PA USD 3467045.68000000 0.012011618445 Long DBT CORP US N 2 2043-09-15 Fixed 0.06150000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C6NN1 14507.03760000 PA USD 15974.97000000 0.000055345461 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04500000 N N N N N N PS BUSINESS PKS INC CALIF N/A 69360J628 14075.00000000 NS USD 354549.25000000 0.001228339832 Long EP CORP US N 1 N N N QBE INS GROUP LTD 549300D2FBW76FPUSG65 N/A 3897000.00000000 PA USD 4079591.60000000 0.014133790620 Long EP CORP AU N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383JEA4 1203.26400000 PA USD 1390.34000000 0.000004816848 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31296MKP3 815.47940000 PA USD 902.90000000 0.000003128107 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.05000000 N N N N N N KUEHG CORP N/A 50118YAB5 637000.00000000 PA USD 631158.71000000 0.002186656393 Long LON CORP US N 2 2025-08-22 Variable 0.10194630 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 28500000.00000000 NC USD 910622.03000000 0.003154860184 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2030-02-28 0.00000000 USD 0.00000000 USD 28500000.00000000 USD 1.00000000 1.40250000 USD 2025-02-26 XXXX 106922.03000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209KB80 235.30720000 PA USD 266.72000000 0.000000924054 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137BGB32 2529202.93960000 PA USD 189187.92000000 0.000655443659 Long ABS-CBDO USGSE US N 2 2034-02-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404R4X2 111110.62130000 PA USD 121666.10000000 0.000421513561 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HFYZ6 289883.11000000 PA USD 312170.14000000 0.001081516933 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PED6 960000.00000000 PA USD 960000.00000000 0.003325930712 Long DBT NUSS DO N 2 2030-01-30 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204GPT3 122.29500000 PA USD 130.87000000 0.000000453400 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 0.08000000 N N N N N N QATAR ST 52990074F6OJOAXK4P65 74727PBA8 1145000.00000000 PA USD 1301364.06000000 0.004508590307 Long DBT NUSS QA N 2 2029-03-14 Fixed 0.04000000 N N N N N N AES CORP 2NUNNB7D43COUIRE5295 00130HBT1 5211000.00000000 PA USD 5162902.47000000 0.017886933217 Long DBT CORP US N 2 2023-05-15 Fixed 0.04875000 N N N N N N NATIXIS COML MTG SECS TR 2018-FL1 N/A 63874MBC5 132000.00000000 PA USD 132321.86000000 0.000458430560 Long ABS-MBS CORP US N 2 2035-06-15 Variable 0.04427000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176LVE2 10743.69370000 PA USD 11649.63000000 0.000040360273 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208VMY8 1309.56740000 PA USD 1481.78000000 0.000005133643 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 0.07000000 N N N N N N UNITED KINGDOM,G.B. and N.IRELAND ECTRVYYCEF89VWYS6K36 N/A 1470991.00000000 PA 2173948.96000000 0.007531670429 Long DBT NUSS GB N 2 2037-09-07 Fixed 0.01750000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202F3M6 14877610.70000000 PA USD 15838484.16000000 0.054872605105 Long ABS-MBS USGA US N 2 2042-02-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205EUT1 675.54920000 PA USD 707.95000000 0.000002452700 Long ABS-MBS USGA US N 2 2024-05-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200RCR1 443.69220000 PA USD 514.66000000 0.000001783045 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BH2 18623000.00000000 PA USD 21374143.20000000 0.074050957619 Long DBT CORP US N 2 2026-01-15 Fixed 0.05250000 N N N N N N SANCHEZ ENERGY CORP 549300SB0HTIM17TVR61 N/A 907000.00000000 PA USD 907000.00000000 0.003142311620 Long LON CORP US N 3 2020-05-11 Variable 0.07250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204XXQ3 317.28460000 PA USD 346.37000000 0.000001200002 Long ABS-MBS USGA US N 2 2024-10-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KFM2 40276.13850000 PA USD 43790.86000000 0.000151713923 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128286S4 89077000.00000000 PA USD 96324945.18000000 0.333718847415 Long DBT UST US N 2 2026-04-30 Fixed 0.02375000 N N N N N N CITIGROUP MTG LN TR 2009-5 N/A 17315GAJ7 252816.13160000 PA USD 255598.63000000 0.000885524305 Long ABS-CBDO CORP US N 2 2037-01-25 Variable 0.04354090 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EXCQ4 9315159.30300000 PA USD 9635149.93000000 0.033381084446 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.02500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 55500000.00000000 NC USD 910039.61000000 0.003152842383 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-10-28 0.00000000 USD 0.00000000 USD 55500000.00000000 USD 1.00000000 1.78500000 USD 2024-10-24 XXXX -631472.89000000 N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394VS43 289335.48490000 PA USD 269871.60000000 0.000934973169 Long ABS-CBDO USGSE US N 2 2035-10-25 Fixed 0.00000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASLJ6 57937.81980000 PA USD 64337.87000000 0.000222899268 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.05000000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3133TDPN0 52970.03940000 PA USD 58640.97000000 0.000203162294 Long ABS-CBDO USGSE US N 2 2028-04-15 Fixed 0.06000000 N N N N N N JPMDB COML MTG SECS TR 2019 N/A 48129RAA3 567000.00000000 PA USD 523032.10000000 0.001812050546 Long ABS-MBS CORP US N 2 2052-11-13 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290YT24 10791.03490000 PA USD 12187.14000000 0.000042222482 Long ABS-MBS USGA US N 2 2034-04-15 Fixed 0.05500000 N N N N N N GARTNER INC PP55B5R38BFB8O8HH686 366651AB3 850000.00000000 PA USD 877710.00000000 0.003040836088 Long DBT CORP US N 2 2025-04-01 Fixed 0.05125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402JRP4 93150.14300000 PA USD 101669.19000000 0.000352234043 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945PQ5 419718.71680000 PA USD 464416.20000000 0.001608975107 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MVB0 2690.40550000 PA USD 2951.53000000 0.000010225608 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BBF2 282477.65190000 PA USD 293654.36000000 0.001017368806 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 0.03000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDA7 23467000.00000000 PA USD 22622188.00000000 0.078374822755 Long DBT CORP MX N 2 2060-01-28 Fixed 0.06950000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293TGY7 669.19760000 PA USD 759.24000000 0.000002630395 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N C AND S GROUP ENTERPRISES LLC N/A 12467AAD0 3010000.00000000 PA USD 3055451.00000000 0.010585644083 Long DBT CORP US N 2 2022-07-15 Fixed 0.05375000 N N N N N N VNDO 2012-6AVE MTG TR N/A 91830CAL2 828000.00000000 PA USD 852215.44000000 0.002952509901 Long ABS-MBS CORP US N 2 2030-11-15 Variable 0.03337200 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EXER0 1953669.03700000 PA USD 2133177.62000000 0.007390417667 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335AU48 6120148.34330000 PA USD 6547976.70000000 0.022685538342 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N MYLAN INC 30ZMPDNA1RHIBH89C294 628530BK2 13507000.00000000 PA USD 15172417.15000000 0.052565008517 Long DBT CORP US N 2 2028-04-15 Fixed 0.04550000 N N N N N N ISTAR INC QFFLKWYYS3UPWD86E794 46521HAB1 856679.92000000 PA USD 853467.37000000 0.002956847226 Long LON CORP US N 2 2023-06-28 Variable 0.04406690 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371HYA0 990.27590000 PA USD 1135.23000000 0.000003933017 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136A4WY1 725534.51850000 PA USD 60778.75000000 0.000210568657 Long ABS-CBDO USGSE US N 2 2030-12-25 Variable 0.05023250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210LDF7 379.28190000 PA USD 433.80000000 0.000001502904 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204GPH9 113.63910000 PA USD 124.76000000 0.000000432232 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383DXP3 6044.03300000 PA USD 6949.47000000 0.000024076516 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.07000000 N N N N N N CHOBANI LLC 549300ISVDMZ91KNTR38 17026YAD1 6160674.35000000 PA USD 6052862.55000000 0.020970209845 Long LON CORP US N 2 2023-10-07 Variable 0.05103380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213PKC4 2189.20210000 PA USD 2536.42000000 0.000008787455 Long ABS-MBS USGA US N 2 2031-04-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJTA8 242148.52450000 PA USD 254834.32000000 0.000882876345 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N BANK 2017-BNK4 N/A 06541FAJ8 1426000.00000000 PA USD 1375946.83000000 0.004766983146 Long ABS-MBS CORP US N 2 2050-05-15 Fixed 0.03357000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404XVJ0 662.44000000 PA USD 672.38000000 0.000002329468 Long ABS-MBS USGSE US N 2 2021-02-01 Fixed 0.06000000 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAJ5 16274000.00000000 PA USD 19805398.76000000 0.068616025002 Long DBT CORP US N 2 2042-08-15 Fixed 0.05750000 N N N N N N NUANCE COMMUNICATIONS INC AEMSOT3SS15TNMJCE605 67020YAQ3 2663000.00000000 PA USD 2809465.00000000 0.009733422841 Long DBT CORP US N 2 2026-12-15 Fixed 0.05625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J92P2 407153.16410000 PA USD 441590.18000000 0.001529894106 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N BRAZIL, FEDERATIVE REPUBLIC OF 254900ZFY40OYEADAP90 105756BV1 6374000.00000000 PA USD 6951643.75000000 0.024084047341 Long DBT NUSS BR N 2 2025-01-07 Fixed 0.04250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UGC0 144152744.32400000 PA USD 151409955.67000000 0.524561480923 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223CM70 420.81180000 PA USD 475.07000000 0.000001645885 Long ABS-MBS USGA US N 2 2027-01-15 Fixed 0.07500000 N N N N N N BAMLL COML MTG SECS TR 2019 N/A 05492PAQ1 11600000.00000000 PA USD 12241321.08000000 0.042410193476 Long ABS-MBS CORP US N 2 2032-11-05 Fixed 0.03287000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375T7H5 14.17890000 PA USD 15.75000000 0.000000054566 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SYR2 1727881.28000000 PA USD 1803420.79000000 0.006247971450 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213JU86 2150.85920000 PA USD 2500.51000000 0.000008663044 Long ABS-MBS USGA US N 2 2031-11-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QPDN1 21982.74700000 PA USD 23264.91000000 0.000080601540 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJ7F9 422361.56510000 PA USD 458559.30000000 0.001588683811 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203LA36 536.84100000 PA USD 572.98000000 0.000001985095 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 0.07500000 N N N N N N GEMS MENASA KY LTD/GEMS N/A 36166LAA5 9275000.00000000 PA USD 9535859.38000000 0.033037091227 Long DBT CORP KY N 2 2026-07-31 Fixed 0.07125000 N N N N N N GS MTG SECS TR 2010-C2 N/A 36248EAG0 910000.00000000 PA USD 924851.29000000 0.003204157614 Long ABS-MBS CORP US N 2 2043-12-10 Variable 0.05179439 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295QLQ1 136473.33090000 PA USD 150453.30000000 0.000521247136 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DF9 16266000.00000000 PA USD 19215472.79000000 0.066572219896 Long DBT CORP US N 2 2036-09-15 Fixed 0.06450000 N N N N N N NORTONLIFELOCK INC YF6ZV0M6AU4FY94MK914 871503AU2 11289000.00000000 PA USD 11460164.16000000 0.039703866610 Long DBT CORP US N 2 2025-04-15 Fixed 0.05000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174467X1 27517000.00000000 PA USD 31752513.50000000 0.110006937330 Long DBT CORP US N 2 2025-11-24 Fixed 0.05000000 N N N N N N OCI NV 549300NCMRGIBJYUOE57 67091GAA1 6832000.00000000 PA USD 7077952.00000000 0.024521643683 Long DBT CORP NL N 2 2023-04-15 Fixed 0.06625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200R5X6 1399.23380000 PA USD 1600.35000000 0.000005544430 Long ABS-MBS USGA US N 2 2031-10-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378U2T8 2060.96610000 PA USD 2364.26000000 0.000008191005 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9P88 13988.30190000 PA USD 15438.71000000 0.000053487583 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GGT1 1813.74610000 PA USD 2081.86000000 0.000007212627 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N TMK HAWK PARENT CORP 5493005BF4TIZRN1TY89 02337NAB5 809784.73000000 PA USD 674550.68000000 0.002336988357 Long LON CORP US N 2 2024-09-26 Variable 0.05110000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RVA9 267.04970000 PA USD 288.60000000 0.000000999857 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297KCG4 140024.93380000 PA USD 154543.76000000 0.000535418580 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.04500000 N N N N N N SUPERMOOSE BORROWER LLC N/A 86845PAC6 1513710.00000000 PA USD 1447485.19000000 0.005014828592 Long LON CORP US N 2 2025-08-29 Variable 0.05353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409BJ32 4548.22420000 PA USD 5008.76000000 0.000017352904 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AJG4 170687.00140000 PA USD 177333.84000000 0.000614375067 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E6TA4 115948.74340000 PA USD 121273.09000000 0.000420151973 Long ABS-MBS USGSE US N 2 2042-02-01 Variable 0.04388000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223RYH2 125.86880000 PA USD 130.90000000 0.000000453504 Long ABS-MBS USGA US N 2 2021-12-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200N6G1 6132.23630000 PA USD 7073.09000000 0.000024504799 Long ABS-MBS USGA US N 2 2034-11-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203F2R5 194.40210000 PA USD 208.81000000 0.000000723424 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GMS6 147.59110000 PA USD 167.35000000 0.000000579785 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LT97 30126.64860000 PA USD 33212.74000000 0.000115065908 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04500000 N N N N N N CHARLES RIVER LABS INTL INC 549300BSQ0R4UZ5KX287 159864AC1 1805000.00000000 PA USD 1897822.13000000 0.006575025946 Long DBT CORP US N 2 2026-04-01 Fixed 0.05500000 N N N N N N TEVA PHARMACEUTICAL FIN NETH III B V 5493004T21MOAFINJP35 88167AAD3 13994000.00000000 PA USD 13026035.02000000 0.045128843677 Long DBT CORP NL N 2 2023-07-21 Fixed 0.02800000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205BXS6 545.42020000 PA USD 601.25000000 0.000002083037 Long ABS-MBS USGA US N 2 2024-11-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FPV8 300.98240000 PA USD 338.22000000 0.000001171766 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J9WZ7 94830.75690000 PA USD 102851.54000000 0.000356330307 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EBH7 5127000.00000000 PA USD 5452778.40000000 0.018891211611 Long DBT CORP GB N 2 2025-05-07 Variable 0.03932000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -29000000.00000000 NC USD -437727.74000000 -0.00151651263 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2030-01-10 0.00000000 USD 0.00000000 USD -29000000.00000000 USD 1.00000000 1.92000000 USD 2025-01-08 XXXX 371372.26000000 N N N STORE CAP CORP 5493004EA6C9IHDZ7N66 862121AB6 5948000.00000000 PA USD 6882030.50000000 0.023842871460 Long DBT CORP US N 2 2029-03-15 Fixed 0.04625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XVLQ4 8239289.99650000 PA USD 8665919.61000000 0.030023175187 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WBG7 4886000.00000000 PA USD 5269995.14000000 0.018257956967 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 0.05542200 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402E4E5 37945.25640000 PA USD 41461.26000000 0.000143642997 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225ARA0 220.90080000 PA USD 243.88000000 0.000000844924 Long ABS-MBS USGA US N 2 2026-12-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945YK8 15265.81650000 PA USD 17011.28000000 0.000058935769 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374MJY1 49.81730000 PA USD 55.13000000 0.000000190998 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7T44 248211.38540000 PA USD 263076.39000000 0.000911431088 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132A5J63 7282698.64800000 PA USD 7690131.41000000 0.026642546080 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128K74S4 48434.47310000 PA USD 53942.92000000 0.000186885848 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.05000000 N N N N N N OWENS and MINOR DISTRIBUTION INC N/A 67112UAB3 1882335.00000000 PA USD 1581161.40000000 0.005477951313 Long LON CORP US N 2 2025-04-30 Variable 0.06155000 N N N N N N FNMA STRIPPED MTG BKD SECS N/A 3136FER61 345559.21760000 PA USD 64487.95000000 0.000223419222 Long ABS-CBDO USGSE US N 2 2037-07-25 Fixed 0.05000000 N N N N N N JPMBB COML MTG SECS TR 2014-C23 N/A 46643AAQ6 194000.00000000 PA USD 179261.08000000 0.000621052011 Long ABS-MBS CORP US N 2 2047-09-15 Fixed 0.04709400 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBJ58 15355069.22600000 PA USD 16588392.99000000 0.057470672615 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04000000 N N N N N N NEW JERSEY ECO DEV AUTH ST PEN N/A 645913AA2 27425000.00000000 PA USD 35809371.00000000 0.124061965407 Long DBT MUN US N 2 2029-02-15 Fixed 0.07425000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FWH1 48805.13520000 PA USD 54501.38000000 0.000188820639 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810PU6 16600.00000000 PA USD 25892.11000000 0.000089703504 Long DBT UST US N 2 2037-05-15 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MNJ5 47569.34300000 PA USD 51160.83000000 0.000177247266 Long ABS-MBS USGA US N 2 2042-09-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128L1YB0 145027.19660000 PA USD 172352.83000000 0.000597118302 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180M2R7 1287113.63100000 PA USD 1351739.86000000 0.004683117828 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03500000 N N N N N N MORGAN STANLEY CAP I TR 2011-C2 3IFG42XD94UUZ7FL2766 617459AF9 5014010.15000000 PA USD 19222.21000000 0.000066595561 Long ABS-MBS CORP US N 2 2044-06-15 Variable 0.00328054 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BF6 32478000.00000000 PA USD 36172260.45000000 0.125319199956 Long DBT CORP US N 2 2027-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208GRR1 1546.09520000 PA USD 1749.23000000 0.000006060226 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TDW6 2919.07070000 PA USD 3300.07000000 0.000011433129 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 0.07000000 N N N N N N VONOVIA FINANCE BV 5299009XLZLD9TALOZ03 25155FAB2 3695000.00000000 PA USD 4020864.01000000 0.013930328229 Long DBT CORP NL N 2 2023-10-02 Fixed 0.05000000 N N N N N N ENERGIAS DE PORTUGAL SA 529900CLC3WDMGI9VH80 N/A 2600000.00000000 PA 2805637.25000000 0.009720161559 Long DBT CORP PT N 2 2080-07-20 Variable 0.01700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31400PHL2 3356.32380000 PA USD 3955.41000000 0.000013703562 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.07000000 N N N N N N INTERGEN NV 549300E3XRGX2JMPEC79 45867XAG9 7075000.00000000 PA USD 6933500.00000000 0.024021188117 Long DBT CORP NL N 2 2023-06-30 Fixed 0.07000000 N N N N N N WELLS FARGO COML MTG TR 2015-NXS4 549300RD723OFH36TP29 94989XAL9 645000.00000000 PA USD 590181.97000000 0.002044692020 Long ABS-MBS CORP US N 2 2048-12-15 Variable 0.03669820 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224NJA2 113.01920000 PA USD 118.40000000 0.000000410198 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XSPT1 250424.28800000 PA USD 270040.02000000 0.000935556662 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.04000000 N N N N N N NATIXIS COML MTG SECS TR 2020-2PAC N/A 63875DAQ4 735000.00000000 PA USD 745551.88000000 0.002582972807 Long ABS-MBS CORP US N 2 2037-01-15 Variable 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PBNK6 1930.92690000 PA USD 1948.71000000 0.000006751327 Long ABS-MBS USGSE US N 2 2020-11-01 Fixed 0.05500000 N N N N N N SITE CENTERS CORP W2AVA6SODOQ1LCYJQR54 23317HAD4 5451000.00000000 PA USD 5787614.95000000 0.020051256575 Long DBT CORP US N 2 2025-02-01 Fixed 0.03625000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BK8 600000.00000000 PA 681827.78000000 0.002362199951 Long DBT CORP US N 2 2023-05-26 Fixed 0.01250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296WBC9 59498.57930000 PA USD 64907.83000000 0.000224873901 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.04000000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AP3 15184000.00000000 PA USD 16907488.47000000 0.058576182466 Long DBT CORP US N 2 2026-01-30 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384WFB1 442.50330000 PA USD 503.61000000 0.000001744762 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.07000000 N N N N N N EQUITY ONE INC 54930052LBJBIKJPIO43 294752AH3 11531000.00000000 PA USD 12151217.09000000 0.042098027197 Long DBT CORP US N 2 2022-11-15 Fixed 0.03750000 N N N N N N JP MORGAN CHASE COML MTG SECS TR 2012-CIBX N/A 46637WAN3 886000.00000000 PA USD 912318.63000000 0.003160738073 Long ABS-MBS CORP US N 2 2045-06-15 Variable 0.05132024 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A -19600000.00000000 NC USD -165459.67000000 -0.00057323687 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Written GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2030-10-06 0.00000000 USD 0.00000000 USD -19600000.00000000 USD 1.00000000 1.48700000 USD 2020-10-02 XXXX 359330.33000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411WNZ6 1447.77010000 PA USD 1731.59000000 0.000005999112 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206NC60 3112.22330000 PA USD 3444.09000000 0.000011932088 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GJKG3 97988.59250000 PA USD 106858.27000000 0.000370211668 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAC3 21671000.00000000 PA USD 23338487.45000000 0.080856450192 Long DBT CORP US N 2 2025-02-01 Fixed 0.04000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 14900000.00000000 PA 16661520.38000000 0.057724023273 Long DBT CORP DE N 2 2021-02-12 Fixed 0.01625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31400KBQ8 4457.62410000 PA USD 4988.51000000 0.000017282748 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209GYN1 300.22820000 PA USD 338.80000000 0.000001173776 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7DA8 33257.00770000 PA USD 36918.76000000 0.000127905455 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.07000000 N N N N N N DRYDEN SENIOR LOAN FUND 2018 N/A 26253LAA0 16400000.00000000 PA USD 16400000.00000000 0.056817982999 Long ABS-CBDO CORP US N 2 2033-04-17 Variable 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AWP8 1730031.78590000 PA USD 1812811.73000000 0.006280506466 Long ABS-MBS USGSE US N 2 2040-12-01 Variable 0.04052000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QV3Y5 347650.20770000 PA USD 373577.96000000 0.001294265010 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224HNB8 125.78940000 PA USD 134.04000000 0.000000464383 Long ABS-MBS USGA US N 2 2023-02-15 Fixed 0.07500000 N N N N N N WFRBS COML MTG TR 2011-C5 N/A 92936JAN4 1880000.00000000 PA USD 1940940.20000000 0.006724408980 Long ABS-MBS CORP US N 2 2044-11-15 Variable 0.05660831 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HQ54 750618.35760000 PA USD 816121.59000000 0.002827462355 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207NAD6 130.19970000 PA USD 145.50000000 0.000000504086 Long ABS-MBS USGA US N 2 2026-06-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TLX5 7856.44890000 PA USD 8874.50000000 0.000030745804 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AYKN5 30511.11190000 PA USD 34234.28000000 0.000118605045 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205QRQ4 59.04240000 PA USD 60.92000000 0.000000211058 Long ABS-MBS USGA US N 2 2024-07-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L66G1 397465.96130000 PA USD 421276.12000000 0.001459515818 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.03500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747WAF6 12664000.00000000 PA USD 13115958.02000000 0.045440382914 Long DBT CORP US N 2 2021-01-25 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EWQ65 221888.42220000 PA USD 238323.76000000 0.000825675325 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QT50 5726217.13380000 PA USD 6146021.00000000 0.021292958334 Long ABS-MBS USGA US N 2 2044-11-20 Fixed 0.04000000 N N N N N N CROWN FINANCE US INC N/A 22834KAB7 5328181.15300000 PA USD 4917165.26000000 0.017035573911 Long LON CORP US N 2 2025-02-28 Variable 0.03853380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375DCW1 134.73470000 PA USD 142.65000000 0.000000494212 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31382UKG0 379.67770000 PA USD 435.45000000 0.000001508621 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07000000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAB7 1293000.00000000 PA USD 1301089.98000000 0.004507640753 Long DBT CORP US N 2 2020-04-15 Fixed 0.07000000 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAC7 15162000.00000000 PA USD 16810620.66000000 0.058240582857 Long DBT CORP US N 2 2026-06-15 Fixed 0.04125000 N N N N N N VERSCEND HLDG CORP N/A 92531HAB3 3384162.50000000 PA USD 3367241.69000000 0.011665846408 Long LON CORP US N 2 2025-08-27 Variable 0.06103380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292GQ41 418.82470000 PA USD 469.48000000 0.000001626518 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.08500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NBB3 759617.87690000 PA USD 807491.05000000 0.002797561753 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203QAZ4 234.44890000 PA USD 244.72000000 0.000000847835 Long ABS-MBS USGA US N 2 2023-05-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224DUT0 32.83380000 PA USD 34.34000000 0.000000118971 Long ABS-MBS USGA US N 2 2022-07-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QU7A5 1142816.19970000 PA USD 1231975.86000000 0.004268194113 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FQ74 1355182.66970000 PA USD 1483426.86000000 0.005139348909 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207JXN8 1381.98650000 PA USD 1546.42000000 0.000005357589 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N CITADEL SECS LP 549300NV5RXBUS3X7L47 17288YAC6 3791562.50000000 PA USD 3753646.88000000 0.013004551500 Long LON CORP US N 2 2026-02-27 Variable 0.04353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FDB1 214613.27220000 PA USD 235754.16000000 0.000816772917 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.04500000 N N N N N N VERTIV GROUP CORP 549300ZT8RQ5VK10E643 92537EAB4 4300000.00000000 PA USD 4257000.00000000 0.014748424001 Long LON CORP US N 2 2027-03-02 Variable 0.00000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223AJK9 364.08300000 PA USD 379.97000000 0.000001316410 Long ABS-MBS USGA US N 2 2021-11-15 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AQL5 257624.60950000 PA USD 267817.97000000 0.000927858345 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.03000000 N N N N N N VALARIS PLC 7N0UJMJLXD0MDT5D5086 91889DAB2 4029000.00000000 PA USD 1692180.00000000 0.005862576492 Long DBT CORP GB N 2 2024-10-01 Fixed 0.04500000 N N N N N N NIAGARA PARK CLO LLC N/A 65357LAA3 22017000.00000000 PA USD 22021403.40000000 0.076293397804 Long ABS-CBDO CORP KY N 2 2032-07-17 Variable 0.03136130 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312944H79 91995.47590000 PA USD 101073.74000000 0.000350171100 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N MILLICOM INTL CELLULAR SA 549300CTHC1CP86P2G96 N/A 350000.00000000 PA USD 374500.00000000 0.001297459428 Long DBT CORP LU N 2 2026-10-15 Fixed 0.06625000 N N N N N N TURKEY REPUBLIC OF 5493000PCHOG3B6S3Q85 900123CX6 1065000.00000000 PA USD 990450.00000000 0.003431425076 Long DBT NUSS TR N 2 2025-03-13 Fixed 0.04250000 N N N N N N MATADOR BIDCO SARL 549300CNVJU6794GIZ49 N/A 500000.00000000 PA USD 498280.00000000 0.001726296620 Long LON CORP LU N 2 2026-10-15 Variable 0.06353380 N N N N N N JAMAICA GOVT OF N/A 470160CB6 430000.00000000 PA USD 582515.63000000 0.002018131900 Long DBT NUSS JM N 2 2045-07-28 Fixed 0.07875000 N N N N N N PROGRESS RESIDENTIAL 2018 SFR3 TR N/A 74331MAF3 689000.00000000 PA USD 718363.32000000 0.002488777737 Long ABS-CBDO CORP US N 2 2035-10-17 Fixed 0.05368000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AENH9 11373.30610000 PA USD 13296.29000000 0.000046065145 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9P96 15134.61060000 PA USD 16901.03000000 0.000058553807 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.05000000 N N N N N N CEMEX SAB DE CV 549300RIG2CXWN6IV731 151290BU6 604000.00000000 PA USD 638428.00000000 0.002211840929 Long DBT CORP MX N 2 2026-04-16 Fixed 0.07750000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128NHMK6 18163.51600000 PA USD 18910.94000000 0.000065517162 Long ABS-MBS USGSE US N 2 2036-01-01 Variable 0.03412000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4XG6 31933232.91800000 PA USD 33815808.76000000 0.117155246781 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GM29 628586.73950000 PA USD 674175.75000000 0.002335689408 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N MA FINANCECO LLC N/A 55280FAJ0 285334.92000000 PA USD 281768.23000000 0.000976189176 Long LON CORP US N 2 2021-11-20 Variable 0.03853380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JN7K7 38187.27690000 PA USD 40187.85000000 0.000139231254 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N KINDER MORGAN ENERGY PARTNERS LP 549300PDHUGWPWGOT525 494550BT2 7224000.00000000 PA USD 7310003.89000000 0.025325590045 Long DBT CORP US N 2 2021-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A1CA7 8663.86830000 PA USD 9582.20000000 0.000033197638 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206QP93 4657.64930000 PA USD 5198.76000000 0.000018011162 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36196HPQ7 502550.30560000 PA USD 535346.94000000 0.001854715447 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375MW41 230.66020000 PA USD 256.16000000 0.000000887469 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N NAVIENT CORP 54930067J0ZNOEBRW338 63938CAF5 7023000.00000000 PA USD 7321477.50000000 0.025365340495 Long DBT CORP US N 2 2022-06-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207JSR5 468.72800000 PA USD 527.50000000 0.000001827529 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N BWAY 2015-1740 MTG TR N/A 05604LAL6 637000.00000000 PA USD 649863.20000000 0.002251458307 Long ABS-MBS CORP US N 2 2035-01-10 Variable 0.04449907 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FA69 153.88420000 PA USD 168.86000000 0.000000585017 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N BOSTON PPTY LTD PARTNERSHIP BVHHEFJI6SHNOKQT2572 10112RBA1 12665000.00000000 PA USD 14953034.96000000 0.051804956472 Long DBT CORP US N 2 2028-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AWT1 646067.99460000 PA USD 671630.77000000 0.002326872297 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.03000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BKP6 2037761.59690000 PA USD 2039124.04000000 0.007064567990 Long ABS-CBDO USGA US N 2 2061-02-20 Variable 0.02234380 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38148LAE6 12741000.00000000 PA USD 13789390.89000000 0.047773498607 Long DBT CORP US N 2 2025-05-22 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GSDM1 399829.70900000 PA USD 431839.40000000 0.001496112419 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LSP61 36816.23640000 PA USD 38022.72000000 0.000131730137 Long ABS-MBS USGSE US N 2 2042-06-01 Variable 0.04588000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31296XDM4 198.30340000 PA USD 222.45000000 0.000000770680 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.05000000 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137LAA3 2306000.00000000 PA USD 2401193.11000000 0.008318960323 Long DBT CORP US N 2 2022-01-25 Fixed 0.03666000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194CSX2 2274139.24230000 PA USD 2425278.99000000 0.008402406123 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FFD4 744.61700000 PA USD 854.24000000 0.000002959524 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406RX42 668.25130000 PA USD 683.61000000 0.000002368374 Long ABS-MBS USGSE US N 2 2022-01-01 Fixed 0.05000000 N N N N N N HERTZ CORP 549300PD0C69OJ0NLB27 42804VAS0 2060064.31100000 PA USD 2045911.67000000 0.007088083809 Long LON CORP US N 2 2023-06-30 Variable 0.04360000 N N N N N N LAMAR MEDIA CORP N/A 513076BB4 1250000.00000000 PA USD 1245937.50000000 0.004316564371 Long LON CORP US N 2 2027-01-30 Variable 0.03166250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201VH70 1736.78990000 PA USD 1958.30000000 0.000006784552 Long ABS-MBS USGA US N 2 2033-07-15 Fixed 0.05500000 N N N N N N MYLAN NV 549300A0CD4KNFGIIS89 62854AAN4 7088000.00000000 PA USD 7706367.18000000 0.026698795086 Long DBT CORP NL N 2 2026-06-15 Fixed 0.03950000 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38141GWT7 10830000.00000000 PA USD 11325056.30000000 0.039235783921 Long DBT CORP US N 2 2023-02-23 Fixed 0.03200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GYHU6 107976.26100000 PA USD 111179.28000000 0.000385181856 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WSTY4 1285907.15140000 PA USD 1387607.88000000 0.004807382983 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390J4C2 620.87790000 PA USD 734.25000000 0.000002543817 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375MXW8 554.34160000 PA USD 609.70000000 0.000002112312 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SSP3 867773.64840000 PA USD 905710.98000000 0.003137845796 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 0.03000000 N N N N N N GOLDEN ENTERTAINMENT INC 549300P8YYCKQVJ0Y638 381013AA9 9360000.00000000 PA USD 9991800.00000000 0.034616702593 Long DBT CORP US N 2 2026-04-15 Fixed 0.07625000 N N N N N N GS MTG SECS TR 2016-GS2 N/A 36252TAA3 703000.00000000 PA USD 645606.73000000 0.002236711720 Long ABS-MBS CORP US N 2 2049-05-10 Fixed 0.02753000 N N N N N N HOLMES MASTER ISSUER PLC N/A 43641NCA0 15436768.35000000 PA USD 15427907.64000000 0.053450158170 Long ABS-CBDO CORP GB N 2 2054-10-15 Variable 0.02251250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210A3A3 7823.85200000 PA USD 9135.22000000 0.000031649071 Long ABS-MBS USGA US N 2 2035-02-15 Fixed 0.06500000 N N N N N N WF-RBS COML MTG TR 2012-C8 N/A 92936YAP6 524000.00000000 PA USD 547750.56000000 0.001897687927 Long ABS-MBS CORP US N 2 2045-08-15 Variable 0.04884849 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375UEJ5 1281024.41350000 PA USD 1284447.82000000 0.004449983804 Long ABS-CBDO USGA US N 2 2064-01-20 Variable 0.02334380 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AM0 15432000.00000000 PA USD 16854924.69000000 0.058394074663 Long DBT CORP US N 2 2027-02-09 Fixed 0.04100000 N N N N N N EPICOR SOFTWARE CORPORATION JGNXVGGGXR4O1L5I7S73 29426NAE4 3032959.77000000 PA USD 3006967.30000000 0.010417671764 Long LON CORP US N 2 2022-06-01 Variable 0.04860000 N N N N N N TEVA PHARMACEUTICAL FIN NETH III B V 5493004T21MOAFINJP35 88167AAC5 2475000.00000000 PA USD 2400997.50000000 0.008318282630 Long DBT CORP NL N 2 2021-07-21 Fixed 0.02200000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AABQ0 61746.09170000 PA USD 67164.95000000 0.000232693718 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.04000000 N N N N N N CHENIERE ENERGY PARTNERS LP 5493005UEC8AZ34LDV29 16411QAD3 1507000.00000000 PA USD 1514535.00000000 0.005247123407 Long DBT CORP US N 2 2026-10-01 Fixed 0.05625000 N N N N N N COMM 2012-CCRE2 MTG TR N/A 12624KAW6 105000.00000000 PA USD 108833.69000000 0.000377055533 Long ABS-MBS CORP US N 2 2045-08-15 Variable 0.04830915 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208EGX5 260.78020000 PA USD 296.59000000 0.000001027539 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404FR62 59385.28650000 PA USD 65134.01000000 0.000225657504 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.04500000 N N N N N N GS MORTGAGE SECURITIES TRUST 2018-3PCK N/A 36255YAA9 38853999.99900000 PA USD 38756060.72000000 0.134270804823 Long ABS-MBS CORP US N 2 2031-09-15 Variable 0.03108500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AZB9 9354.31470000 PA USD 9977.34000000 0.000034566605 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.08000000 N N N N N N RUSSIAN FEDN 5493004EHVGF71PDBU58 78307ADE0 1250000.00000000 PA USD 1652343.75000000 0.005724563359 Long DBT NUSS RU N 2 2042-04-04 Fixed 0.05625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292J4E7 19663.85100000 PA USD 23205.13000000 0.000080394431 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QP2A1 172673.43450000 PA USD 182367.06000000 0.000631812714 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XV6D7 331880.52310000 PA USD 365912.32000000 0.001267707315 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206FRB0 62.01100000 PA USD 67.61000000 0.000000234235 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31372DNH5 205.75640000 PA USD 217.86000000 0.000000754778 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJS68 383973.82090000 PA USD 404089.63000000 0.001399973032 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297R4W4 1998.52990000 PA USD 2236.52000000 0.000007748448 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378DTK6 126.59630000 PA USD 141.19000000 0.000000489154 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N CONSUMER LOAN UNDERLYING BOND CREDIT TRUST 2019-P1 N/A 21054AAA6 7484383.73000000 PA USD 7546311.02000000 0.026144278734 Long ABS-CBDO CORP US N 2 2026-07-15 Fixed 0.02940000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JQ92 269650.16400000 PA USD 293181.37000000 0.001015730127 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297XWP5 3910.36510000 PA USD 4462.60000000 0.000015460727 Long ABS-MBS USGSE US N 2 2030-07-01 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AKFV3 17514.07450000 PA USD 19541.79000000 0.000067702749 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AEB93 11081.71240000 PA USD 12256.33000000 0.000042462192 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N OZTEL HLDGS SPC LTD 549300RABIG0RH4JYT64 692733AA6 538000.00000000 PA USD 564900.00000000 0.001957102353 Long DBT CORP AE N 2 2023-10-24 Fixed 0.05625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2D58 133162.19710000 PA USD 148828.94000000 0.000515619523 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.05000000 N N N N N N WFRBS COML MTG TR 2012-C7 N/A 92936TAM4 1242487.00000000 PA USD 448856.50000000 0.001555068352 Long ABS-MBS CORP US N 2 2045-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416WQ96 24798.25120000 PA USD 27481.01000000 0.000095208265 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N TAUBMAN CENTERS-REIT N/A 876664608 14513.00000000 NS USD 368194.81000000 0.001275615027 Long EP CORP US N 1 N N N FED HOME LOAN MTG CORP - GOLD N/A 3129404Y2 37287.12540000 PA USD 41304.59000000 0.000143100212 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207NDW1 145535.76640000 PA USD 162658.28000000 0.000563531426 Long ABS-MBS USGA US N 2 2039-02-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409XCP2 3499.52850000 PA USD 3590.70000000 0.000012440020 Long ABS-MBS USGSE US N 2 2021-11-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HQKL5 144619.75060000 PA USD 156987.27000000 0.000543884148 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJR69 79421.69200000 PA USD 84750.28000000 0.000293618290 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CV35 2837081.52000000 PA USD 3012648.07000000 0.010437352855 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HJS3 163.33120000 PA USD 180.74000000 0.000000626175 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.07000000 N N N N N N TRADE and DEVELOPMENT BANK OF MONGOLIA LLC 549300O080RZNQXWR806 89253XAA2 1831000.00000000 PA USD 1846563.50000000 0.006397439850 Long DBT CORP MN N 2 2020-05-19 Fixed 0.09375000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179N2H0 61361.15690000 PA USD 64427.25000000 0.000223208926 Long ABS-MBS USGA US N 2 2044-02-20 Fixed 0.03000000 N N N N N N MILOS CLO LTD 254900GFWI4EEB8IJS18 60162PAE2 24239000.00000000 PA USD 24239000.00000000 0.083976285970 Long ABS-CBDO CORP KY N 2 2030-10-20 Variable 0.00000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 12000000.00000000 NC USD 1193306.28000000 0.004134222922 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2029-04-06 0.00000000 USD 0.00000000 USD 12000000.00000000 USD 1.00000000 2.56750000 USD 2022-04-04 XXXX 859256.28000000 N N N COMM 2012-CCRE2 MTG TR N/A 12624KAY2 1835100.00000000 PA USD 1849311.01000000 0.006406958629 Long ABS-MBS CORP US N 2 2045-08-15 Variable 0.04830915 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207AAY8 627.18870000 PA USD 668.51000000 0.000002316060 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UPA4 16780460.32400000 PA USD 17570192.42000000 0.060872127695 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 0.04000000 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC N/A 17323AAD3 2321744.48470000 PA USD 2369713.35000000 0.008209898343 Long ABS-CBDO CORP US N 2 2037-06-27 Variable 0.03450000 N N N N N N PACIFIC LIFECORP VFN8KLUEIK7XMVX1JM30 694476AD4 21516000.00000000 PA USD 28250185.04000000 0.097873081300 Long DBT CORP US N 2 2043-01-30 Fixed 0.05125000 N N N N N N ILLINOIS ST N/A 452151LF8 40165000.00000000 PA USD 46993050.00000000 0.162807946095 Long DBT MUN US N 2 2033-06-01 Fixed 0.05100000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292HEF7 69.41750000 PA USD 81.57000000 0.000000282600 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L9KT1 7119229.75500000 PA USD 7601237.21000000 0.026334571132 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7HK2 20298.83530000 PA USD 22586.85000000 0.000078252393 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H7BZ9 849362.44600000 PA USD 908028.16000000 0.003145873692 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N JP MORGAN CHASE COML MTG SECS TR 2012-CIBX N/A 46637WAU7 1233000.00000000 PA USD 736149.95000000 0.002550399716 Long ABS-MBS CORP US N 2 2045-06-15 Fixed 0.04000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PCF3 1639000.00000000 PA USD 1938629.69000000 0.006716404193 Long DBT NUSS DO N 2 2044-04-30 Fixed 0.07450000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371BFR7 184.16960000 PA USD 198.24000000 0.000000686804 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 0.07000000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAH8 9385000.00000000 PA USD 9778498.41000000 0.033877716854 Long DBT CORP IE N 2 2021-12-16 Fixed 0.04450000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207RKN4 1369.28060000 PA USD 1552.47000000 0.000005378549 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BR1 3643000.00000000 PA USD 3687080.30000000 0.012773930841 Long DBT CORP CA N 2 2024-12-01 Fixed 0.07500000 N N N N N N TRONOX FIN LLC 549300LMZ1DX1PWSP524 89705DAD4 2954648.49000000 PA USD 2877827.63000000 0.009970265936 Long LON CORP US N 2 2024-09-22 Variable 0.04494550 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFF28 16569.33220000 PA USD 18417.24000000 0.000063806733 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N TIME WARNER CABLE INC B1WXCWLJVJXMWJX6O298 88732JAY4 10540000.00000000 PA USD 12604543.26000000 0.043668580771 Long DBT CORP US N 2 2040-11-15 Fixed 0.05875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WPRL3 89111.99900000 PA USD 93893.29000000 0.000325294350 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L7Q44 7468113.09200000 PA USD 7882694.19000000 0.027309681980 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03000000 N N N N N N US FOODS INC 5493000JOOFAOUY1JZ87 N/A 2151382.35000000 PA USD 2122704.42000000 0.007354133149 Long LON CORP US N 2 2023-06-27 Variable 0.03353380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209GYD3 1538.35500000 PA USD 1736.01000000 0.000006014426 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N ALFA BD ISSUANCE PLC 253400QWEQNERA6RJS29 N/A 2356000.00000000 PA USD 2400911.25000000 0.008317983816 Long EP CORP IE N 2 N N N MONTREAL EXCHANGE (THE) N/A N/A 194.00000000 NC 334036.93000000 0.001157274671 N/A DIR CORP CA N 1 MONTREAL EXCHANGE (THE) N/A Long CANADA, GOVERNMENT OF CANADA BOND FUT UNDERLYING GENERIC IV FOR FUTURES TRADING 2020-06-19 20608961.15000000 CAD 334036.93000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374SEK3 493.91220000 PA USD 536.24000000 0.000001857809 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967HB0 14874000.00000000 PA USD 17415627.92000000 0.060336637260 Long DBT CORP US N 2 2025-09-13 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204JDL7 149.67780000 PA USD 160.77000000 0.000000556989 Long ABS-MBS USGA US N 2 2024-01-15 Fixed 0.07500000 N N N N N N PETROLEOS DE VENEZUELA SA 549300YWR8TN1OFD4P06 716558AG6 3207669.00000000 PA USD 325578.40000000 0.001127969999 Long DBT CORP VE N 2 2024-05-16 Fixed 0.06000000 Y Y N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206ANE9 90.27500000 PA USD 99.11000000 0.000000343367 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178D6X4 86047.43680000 PA USD 89893.65000000 0.000311437553 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBD4 17974000.00000000 PA USD 20562150.13000000 0.071237798567 Long DBT CORP US N 2 2029-02-14 Fixed 0.04800000 N N N N N N CITYCENTER HOLDINGS LLC 54930012KUDSU3GT0X08 17875LAL3 2101160.28700000 PA USD 2073151.82000000 0.007182457613 Long LON CORP US N 2 2024-04-18 Variable 0.03853380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224XKB6 589.23980000 PA USD 623.76000000 0.000002161023 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GTMQ7 297939.47870000 PA USD 324163.37000000 0.001123067612 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201QLP6 2735.85380000 PA USD 3194.24000000 0.000011066480 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36193TDY0 155643.00800000 PA USD 167154.40000000 0.000579108283 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206X5E9 717.64490000 PA USD 809.30000000 0.000002803828 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402YEH3 123635.00470000 PA USD 135343.23000000 0.000468898130 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N CSAIL 2018-CX11 COML MTG TR N/A 12652UBA6 495000.00000000 PA USD 561770.20000000 0.001946259126 Long ABS-MBS CORP US N 2 2051-04-15 Variable 0.04791578 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828YY0 470452000.00000000 PA USD 488755523.13000000 1.693298963651 Long DBT UST US N 2 2024-12-31 Fixed 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GGS3 141.74500000 PA USD 159.78000000 0.000000553559 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07000000 N N N N N N JSC Georgian Railway 2138005UZV4ZT2B2ZO19 37363BAA6 347000.00000000 PA USD 380832.50000000 0.001319398445 Long DBT CORP GE N 2 2022-07-11 Fixed 0.07750000 N N N N N N IQVIA INC 549300PLWY28YB00C717 46266TAA6 4290000.00000000 PA USD 4434787.50000000 0.015364370779 Long DBT CORP US N 2 2027-05-15 Fixed 0.05000000 N N N N N N JORDAN KINGDOM OF 5493000JZ4MYPVMBVN50 418097AG6 750000.00000000 PA USD 801796.88000000 0.002777834237 Long DBT NUSS JO N 2 2026-01-29 Fixed 0.06125000 N N N N N N BUENOS AIRES PROV 549300L6AYROPOTQ4L07 11943AAC8 2021666.64300000 PA USD 970399.99000000 0.003361961593 Long DBT CORP AR N 2 2021-01-26 Fixed 0.10875000 N N N N N N DG INVESTMENT INTERMEDIATE HOLDINGS 2 INC N/A 38268PAB7 723499.84000000 PA USD 701794.84000000 0.002431376054 Long LON CORP US N 2 2025-02-01 Variable 0.04603380 N N N N N N COLUMBIA PIPELINE GROUP INC 549300SRP1TQM9JJBG80 198280AD1 9868000.00000000 PA USD 9893167.45000000 0.034274989023 Long DBT CORP US N 2 2020-06-01 Fixed 0.03300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383SCJ7 1357.32460000 PA USD 1572.52000000 0.000005448013 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128LXBF6 944417.25350000 PA USD 1058562.92000000 0.003667403048 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N EDGEWELL PERS CARE CO 549300CY8QZDL4Z3RU59 N/A 2250000.00000000 PA USD 2261250.00000000 0.007834125857 Long LON CORP US N 3 2026-11-08 Variable 0.00000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P8EK3 12632007.22590000 PA USD 13506500.87000000 0.046793422976 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 0.04000000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EAL9 13452000.00000000 PA USD 13641673.20000000 0.047261729021 Long DBT CORP GB N 2 2021-01-12 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ET3R5 275914.16270000 PA USD 293855.81000000 0.001018066732 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378DUU2 384.88060000 PA USD 443.26000000 0.000001535679 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.07500000 N N N N N N HUB INTERNATIONAL LTD 549300JQT6ATTUNS5E06 44332EAP1 11646216.36700000 PA USD 11304166.99000000 0.039163412674 Long LON CORP US N 2 2025-04-25 Variable 0.04550800 N N N N N N CITGO HLDG INC 549300NYHOALWZ2BSL72 17302WAB4 5747000.00000000 PA USD 5976880.00000000 0.020706967452 Long DBT CORP US N 2 2024-08-01 Fixed 0.09250000 N N N N N N METALSA S A DE C V 549300F2FONGJR575V67 59132VAA6 2408000.00000000 PA USD 2490624.50000000 0.008628796371 Long DBT CORP MX N 2 2023-04-24 Fixed 0.04900000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225ATA8 2594.39520000 PA USD 2925.73000000 0.000010136224 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WWYF0 24163.66500000 PA USD 25614.18000000 0.000088740612 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GSRV6 3642494.51950000 PA USD 3831544.36000000 0.013274428189 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335CC93 2966641.75800000 PA USD 3120254.17000000 0.010810155389 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312944AN1 65176.46290000 PA USD 72137.73000000 0.000249921970 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AAV96 46219.39400000 PA USD 51011.76000000 0.000176730811 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.04500000 N N N N N N CEDAR RLTY TR INC 54930056URX93R2RSN82 150602506 26075.00000000 NS USD 611980.25000000 0.002120212404 Long EP CORP US N 1 N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31397CDA4 457141.63190000 PA USD 105370.51000000 0.000365057307 Long ABS-CBDO USGSE US N 2 2036-11-15 Variable 0.05001500 N N N N N N WFRBS COML MTG TR 2013-C14 549300GADFYEKC4OLM57 92890PBS2 19520584.83000000 PA USD 19534836.81000000 0.067678660107 Long ABS-MBS CORP US N 2 2046-06-15 Variable 0.02378250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207VKC9 318.75500000 PA USD 346.27000000 0.000001199656 Long ABS-MBS USGA US N 2 2030-12-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31387QL81 53025.41450000 PA USD 60730.54000000 0.000210401633 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XZRY9 220175.65390000 PA USD 237929.03000000 0.000824307779 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409UDH5 328.42200000 PA USD 333.88000000 0.000001156730 Long ABS-MBS USGSE US N 2 2021-03-01 Fixed 0.06000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128285W6 116683400.00000000 PA USD 130812921.84000000 0.453202827387 Long DBT UST US N 2 2029-01-15 Fixed 0.00875000 N N N N N N NORTH AMERICAN LIFTING HOLDINGS INC 5493008KV4SRQC7D1587 87259BAG5 2818288.90000000 PA USD 2475387.69000000 0.008576008273 Long LON CORP US N 2 2020-11-27 Variable 0.06444630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213J4K8 3190.53140000 PA USD 3709.19000000 0.000012850530 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376ZTD5 56.75660000 PA USD 60.92000000 0.000000211058 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EMS7 46814.66550000 PA USD 49478.60000000 0.000171419161 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N ELEMENTIA SA DE CV 549300BH08XQJ1ITLQ77 286189AA3 975000.00000000 PA USD 946968.75000000 0.003280783801 Long DBT CORP MX N 2 2025-01-15 Fixed 0.05500000 N N N N N N INVITATION HOMES TRUST 2018-SFR4 N/A 46187XAL9 744000.00000000 PA USD 743998.29000000 0.002577590377 Long ABS-MBS CORP US N 2 2038-01-17 Variable 0.03858500 N N N N N N UKRAINE CABINET OF MINISTERS 6354001WLTJXOMEXPY07 903724AU6 495000.00000000 PA USD 540787.50000000 0.001873564328 Long DBT NUSS UA N 2 2027-09-01 Fixed 0.07750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136AECM7 2181550.76160000 PA USD 174475.41000000 0.000604472004 Long ABS-CBDO USGSE US N 2 2032-10-25 Fixed 0.03000000 N N N N N N EIG INVS CORP 549300AWVC7LBOKRMB96 26852BAP4 1914135.50200000 PA USD 1878245.46000000 0.006507202354 Long LON CORP US N 2 2023-02-09 Variable 0.05387490 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297S4C6 97375.73960000 PA USD 109614.32000000 0.000379760034 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31393ADJ3 51554.19650000 PA USD 53526.83000000 0.000185444299 Long ABS-CBDO USGSE US N 2 2023-04-25 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213UH37 18210.28890000 PA USD 21086.17000000 0.000073053271 Long ABS-MBS USGA US N 2 2031-06-15 Fixed 0.07000000 N N N N N N CSAIL 2017-C8 COML MTG TR N/A 12595BAK7 1278000.00000000 PA USD 1279433.53000000 0.004432611741 Long ABS-MBS CORP US N 2 2050-06-15 Fixed 0.04470070 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CV0 5734000.00000000 PA USD 6060182.32000000 0.020995569270 Long DBT CORP US N 2 2023-03-09 Fixed 0.03700000 N N N N N N CDK GLOBAL INC 5493000L10CYRTHIJ385 12508EAF8 1159000.00000000 PA USD 1193770.00000000 0.004135829485 Long DBT CORP US N 2 2027-06-01 Fixed 0.04875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GEVS6 107122.83420000 PA USD 117187.56000000 0.000405997609 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04000000 N N N N N N WF-RBS COML MTG TR 2012-C8 N/A 92936YAR2 367000.00000000 PA USD 376711.59000000 0.001305121507 Long ABS-MBS CORP US N 2 2045-08-15 Variable 0.04884849 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374PBH9 128.41150000 PA USD 142.12000000 0.000000492376 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N NAVIENT CORP 54930067J0ZNOEBRW338 78442FET1 1297000.00000000 PA USD 1339152.50000000 0.004639508779 Long DBT CORP US N 2 2024-03-25 Fixed 0.06125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290QUJ2 2073.83750000 PA USD 2283.07000000 0.000007909721 Long ABS-MBS USGA US N 2 2033-06-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335CAG9 5404970.77000000 PA USD 5894215.21000000 0.020420574365 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.04000000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BG0 19449000.00000000 PA USD 21473629.23000000 0.074395628080 Long DBT CORP US N 2 2025-06-12 Fixed 0.04450000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31298EYB5 1033.83920000 PA USD 1166.26000000 0.000004040520 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405VD87 26419.08420000 PA USD 29107.42000000 0.000100842981 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ASH2 253526.53420000 PA USD 263557.74000000 0.000913098731 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QDA61 6473502.00000000 PA USD 6687785.27000000 0.023169906693 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 0.02500000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CZ6 4287000.00000000 PA USD 4399244.68000000 0.015241232282 Long DBT CORP US N 2 2021-03-15 Fixed 0.04850000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295GWL2 3333.06740000 PA USD 3744.85000000 0.000012974074 Long ABS-MBS USGA US N 2 2037-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BJA5 95268.06900000 PA USD 99037.51000000 0.000343116558 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206XJK0 160.90620000 PA USD 180.02000000 0.000000623681 Long ABS-MBS USGA US N 2 2026-02-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M8TQ9 60914.75150000 PA USD 65895.60000000 0.000228296041 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04000000 N N N N N N PROQUEST LLC N/A 74347CAL4 2250000.00000000 PA USD 2238750.00000000 0.007756174356 Long LON CORP US N 2 2026-10-17 Variable 0.05103380 N N N N N N WFRBS COML MTG TR 2011-C5 N/A 92936JAL8 1195000.00000000 PA USD 1247091.96000000 0.004320564011 Long ABS-MBS CORP US N 2 2044-11-15 Variable 0.05660831 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VCK8 10531000.00000000 PA USD 14013187.52000000 0.048548844528 Long DBT CORP US N 2 2046-08-21 Fixed 0.04862000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31397J7J7 337243.38320000 PA USD 72001.19000000 0.000249448926 Long ABS-CBDO USGSE US N 2 2037-06-15 Variable 0.04921500 N N N N N N AMERICAN ELECTRIC POWER CO INC 1B4S6S7G0TW5EE83BO58 025537AG6 3144000.00000000 PA USD 3260091.16000000 0.011294622201 Long DBT CORP US N 2 2022-12-15 Fixed 0.02950000 N N N N N N BAYER AG 549300J4U55H3WP1XT59 N/A 11360000.00000000 PA 12637687.49000000 0.043783409326 Long DBT CORP DE N 2 2075-04-02 Variable 0.02375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36202XTU1 33726.94110000 PA USD 38251.47000000 0.000132522644 Long ABS-MBS USGA US N 2 2035-10-15 Fixed 0.05500000 N N N N N N GENERAL MTRS FINL CO INC 5493008B6JBRUJ90QL97 37045XAY2 12869000.00000000 PA USD 12911769.09000000 0.044732968087 Long DBT CORP US N 2 2020-07-13 Fixed 0.03200000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828YS3 420770000.00000000 PA USD 444273951.32000000 1.539192061769 Long DBT UST US N 2 2029-11-15 Fixed 0.01750000 N N N N N N CHICAGO IL N/A 167486MM8 8885000.00000000 PA USD 12422651.60000000 0.043038415086 Long DBT MUN US N 2 2035-01-01 Fixed 0.07781000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M8YQ1 512492.23010000 PA USD 566749.22000000 0.001963508996 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M9S77 1826166.65900000 PA USD 1976397.54000000 0.006847251330 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04000000 N N N N N N OOREDOO INTERNATIONAL FINANCE LTD 549300BHXCDJ03WU7N77 74733LAE2 660000.00000000 PA USD 741675.00000000 0.002569541313 Long DBT CORP BM N 2 2025-10-19 Fixed 0.05000000 N N N N N N WESTPAC BANKING CORPORATION EN5TNI6CI43VEPAMHL14 961214EF6 13519000.00000000 PA USD 14797802.63000000 0.051267152332 Long DBT CORP AU N 2 2034-07-24 Variable 0.04110000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312933G73 2647632.57100000 PA USD 2935380.99000000 0.010169660194 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208EZ22 804.28940000 PA USD 916.59000000 0.000003175536 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N VIETNAM SOCIALIST REP 5493008AE7RS4XK4BZ08 N/A 124000.00000000 PA USD 124629.13000000 0.000431779011 Long DBT NUSS VN N 2 2028-03-13 Variable 0.02847630 N N N N N N MACK-CALI REALTY LP 549300MJC9VNA6VSEE11 55448QAQ9 11063000.00000000 PA USD 11400746.42000000 0.039498013187 Long DBT CORP US N 2 2022-04-18 Fixed 0.04500000 N N N N N N TERRIER MEDIA BUYER INC N/A 88145LAB0 6500000.00000000 PA USD 6445855.00000000 0.022331736573 Long LON CORP US N 2 2026-12-12 Variable 0.06147720 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417DGB3 48085.78440000 PA USD 50822.05000000 0.000176073559 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03000000 N N N N N N OPTEUM MTG ACCEP CORP N/A 68383NBZ5 6265.58060000 PA USD 6266.10000000 0.000021708973 Long ABS-CBDO CORP US N 2 2035-07-25 Variable 0.01916750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AB2D0 41619.20690000 PA USD 45231.63000000 0.000156705486 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180DL70 476909.93060000 PA USD 503477.20000000 0.001744302377 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292HJ70 3558.64140000 PA USD 4078.41000000 0.000014129696 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TZ28 2922.93830000 PA USD 3345.03000000 0.000011588893 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405AUQ4 75748.34830000 PA USD 83031.70000000 0.000287664251 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J7NZ4 9749812.90750000 PA USD 10399040.27000000 0.036027591052 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417E3V1 113632.87560000 PA USD 124448.65000000 0.000431153736 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJCD0 133774.65120000 PA USD 150278.27000000 0.000520640743 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394FCS2 174425.13950000 PA USD 196361.80000000 0.000680297647 Long ABS-CBDO USGSE US N 2 2035-09-25 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FREY7 410646.98400000 PA USD 443266.03000000 0.001535700107 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128JNG90 11922.32640000 PA USD 12523.71000000 0.000043388533 Long ABS-MBS USGSE US N 2 2036-06-01 Variable 0.04670000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392B2Z8 9077.85770000 PA USD 9180.34000000 0.000031805390 Long ABS-CBDO USGSE US N 2 2032-01-25 Variable 0.02376750 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PD7F1 4068.04720000 PA USD 4105.52000000 0.000014223619 Long ABS-MBS USGSE US N 2 2020-11-01 Fixed 0.05500000 N N N N N N DIGITAL REALTY TRUST LP CD4SPTZ3YBTHY0C1AH38 25389JAL0 7543000.00000000 PA USD 7912600.51000000 0.027413292759 Long DBT CORP US N 2 2022-07-01 Fixed 0.03950000 N N N N N N 8TH AVENUE FOOD and PROVISIONS INC 549300PBCACU45IZ2V05 28253PAD1 172000.00000000 PA USD 166840.00000000 0.000578019041 Long LON CORP US N 2 2026-10-01 Variable 0.09402750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375NC66 305.74340000 PA USD 341.01000000 0.000001181432 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N NAVIENT CORP 54930067J0ZNOEBRW338 78442FEL8 2491000.00000000 PA USD 2621777.50000000 0.009083177403 Long DBT CORP US N 2 2022-01-25 Fixed 0.07250000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RAG7 10617000.00000000 PA USD 14659105.41000000 0.050786634266 Long DBT CORP US N 2 2038-01-15 Fixed 0.06300000 N N N N N N HYLAND SOFTWARE INC N/A 44908XAT5 1612271.83000000 PA USD 1602195.13000000 0.005550822905 Long LON CORP US N 2 2024-07-01 Variable 0.05103380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QPN83 33120.34980000 PA USD 35332.12000000 0.000122408523 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.03500000 N N N N N N TRAVELPORT FIN (LUX) SARL 2221005SGFWYZHL40F77 N/A 5127150.00000000 PA USD 3890225.06000000 0.013477728129 Long LON CORP LU N 2 2026-05-29 Variable 0.06944630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8JX2 3677095.56500000 PA USD 3941415.49000000 0.013655077945 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208J5W8 776.68090000 PA USD 851.72000000 0.000002950793 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N RETL 2019-RVP N/A 74952PAG2 12500000.00000000 PA USD 12511686.25000000 0.043346876624 Long ABS-MBS CORP US N 2 2036-03-15 Variable 0.03208500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208STE2 1104.65320000 PA USD 1270.67000000 0.000004402250 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JP6N7 106663.88160000 PA USD 115585.52000000 0.000400447323 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N MAGNETITE XXI LTD 2019-21A A N/A 55954WAA7 14769000.00000000 PA USD 14785245.90000000 0.051223649401 Long ABS-CBDO CORP KY N 2 2033-01-15 Variable 0.03237140 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401YMJ1 42856.70790000 PA USD 46874.24000000 0.000162396327 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200T2Z0 2765.46230000 PA USD 3186.47000000 0.000011039560 Long ABS-MBS USGA US N 2 2031-11-15 Fixed 0.07000000 N N N N N N EGYPT, (ARAB) REP OF 529900GFIVH4086NMH82 03846JW63 310000.00000000 PA USD 328600.00000000 0.001138438366 Long DBT NUSS EG N 2 2024-03-01 Fixed 0.06200400 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ARA8 6244795.50910000 PA USD 6681337.31000000 0.023147567664 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J6MW1 40009.03930000 PA USD 43393.00000000 0.000150335532 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177Q2N2 47119.82750000 PA USD 51137.28000000 0.000177165677 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RFK5 77.93880000 PA USD 86.78000000 0.000000300650 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31382UR24 347.89500000 PA USD 386.75000000 0.000001339899 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283HTS4 7569.93430000 PA USD 8747.71000000 0.000030306538 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M5ME9 225777.23840000 PA USD 247492.81000000 0.000857441601 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615LF1 23.72810000 PA USD 25.20000000 0.000000087305 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210RTU4 1500.66420000 PA USD 1731.09000000 0.000005997380 Long ABS-MBS USGA US N 2 2029-11-15 Fixed 0.08500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293R5M9 2556.50420000 PA USD 2885.41000000 0.000009996535 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.06000000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AJ7 22201000.00000000 PA USD 23478722.39000000 0.081342295706 Long DBT CORP US N 2 2022-11-21 Fixed 0.03850000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201CP32 4487.26100000 PA USD 5210.90000000 0.000018053221 Long ABS-MBS USGA US N 2 2032-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AG4U9 3067.63210000 PA USD 3411.00000000 0.000011817447 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TW54 306.92480000 PA USD 350.08000000 0.000001212856 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RGG5 111332.77250000 PA USD 111346.63000000 0.000385761642 Long ABS-CBDO USGA US N 2 2063-06-20 Fixed 0.02500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCF7 890000.00000000 PA USD 919828.35000000 0.003186755582 Long DBT CORP MX N 2 2022-03-11 Variable 0.05538380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207YGK0 212.44850000 PA USD 231.08000000 0.000000800579 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523CG3 4769000.00000000 PA USD 4833841.37000000 0.016746897364 Long DBT CORP US N 2 2020-09-15 Fixed 0.04125000 N N N N N N THUNDERBOLT III AIRCRAFT LEASE LTD N/A 88607AAA7 28761072.70000000 PA USD 29082276.36000000 0.100755870963 Long ABS-CBDO CORP US N 2 2039-11-15 Fixed 0.03671000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GJSE0 17682.90410000 PA USD 19554.97000000 0.000067748411 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q75R4 7166141.57900000 PA USD 7618692.02000000 0.026395043516 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290RED1 9326.19710000 PA USD 10274.49000000 0.000035596085 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295T7J7 4673.83230000 PA USD 5458.10000000 0.000018909648 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N LONDON CLEARING HOUSE N/A N/A 13483000.00000000 NC 869852.86000000 0.003013614939 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2035-06-17 0.00000000 EUR 0.00000000 EUR 14050701.20000000 EUR 869852.86000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AGB0 99.47040000 PA USD 107.98000000 0.000000374097 Long ABS-MBS USGA US N 2 2025-07-15 Fixed 0.07500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAM6 7396000.00000000 PA USD 7575587.38000000 0.026245707010 Long DBT CORP US N 2 2021-04-01 Fixed 0.03875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CSF2 398543.06800000 PA USD 410365.49000000 0.001421715819 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 N/A 1.00000000 NC N/A -139788.30000000 -0.00048429812 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 9230000.00000000 EUR 10093484.96000000 USD 2020-05-14 -139788.30000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411KX57 3222.01990000 PA USD 3855.53000000 0.000013357526 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293QHZ9 286.09860000 PA USD 322.56000000 0.000001117512 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.06000000 N N N N N N REGIONALCARE HOSP PARTNERS HLDGS INC N/A 75915TAD4 4609265.54000000 PA USD 4563172.88000000 0.015809163360 Long LON CORP US N 2 2025-11-16 Variable 0.05395250 N N N N N N LONDON CLEARING HOUSE N/A N/A 9150000.00000000 NC 326728.11000000 0.001131953182 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2030-06-17 0.00000000 EUR 0.00000000 EUR 9749559.72000000 EUR 326728.11000000 N N N RPI INTERMEDIATE FINANCE TRUST 5493009EMOUZYHVGX031 74968YAC4 6155000.00000000 PA USD 6112715.15000000 0.021177569845 Long LON CORP US N 2 2027-02-11 Variable 0.00000000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EAN5 15982000.00000000 PA USD 17635337.90000000 0.061097824938 Long DBT CORP GB N 2 2026-01-12 Fixed 0.04375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402CTT9 387710.96490000 PA USD 449691.95000000 0.001557962778 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQF98 586252.31070000 PA USD 625402.18000000 0.002166712831 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XUUB9 8640139.20200000 PA USD 9200819.44000000 0.031876341617 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207TTL5 1325.74960000 PA USD 1501.53000000 0.000005202067 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N CITIGROUP COML MTG TR 2019-GC43 N/A 17328HAL5 1196000.00000000 PA USD 1037956.49000000 0.003596011841 Long ABS-MBS CORP US N 2 2052-11-10 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W3FV0 14338.78990000 PA USD 15159.20000000 0.000052519217 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CG81 6903109.90300000 PA USD 7203162.55000000 0.024955437030 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.03000000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RCM2 7993000.00000000 PA USD 8246520.38000000 0.028570161875 Long DBT CORP US N 2 2022-06-30 Fixed 0.03000000 N N N N N N GEORGIAN OIL and GAS CORP JSC 5493001K58EJICR6I331 37363CAB2 1134000.00000000 PA USD 1179359.09000000 0.004085902727 Long DBT CORP GE N 2 2021-04-26 Fixed 0.06750000 N N N N N N COMCAST CORP NEW 51M0QTTNCGUN7KFCFZ59 20030NAM3 1399000.00000000 PA USD 2065892.86000000 0.007157308865 Long DBT CORP US N 2 2037-03-15 Fixed 0.06450000 N N N N N N WELLS FARGO COML MTG TR 2015-C31 N/A 94989WAV9 23264770.91210000 PA USD 1122418.18000000 0.003888630309 Long ABS-MBS CORP US N 2 2048-11-15 Variable 0.01014187 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417CEQ4 437641.83640000 PA USD 463229.14000000 0.001604862524 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BP42 7007769.98460000 PA USD 7504130.33000000 0.025998143262 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GN6Y4 106246.13100000 PA USD 114752.02000000 0.000397559653 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 455780CE4 1225000.00000000 PA USD 1387695.31000000 0.004807685886 Long DBT NUSS ID N 2 2048-01-11 Fixed 0.04350000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225A3F5 199.43600000 PA USD 225.88000000 0.000000782563 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N CYPRESS INTERMEDIATE HOLDINGS III INC 5493006JEEL9RIWY5T17 124886AH5 1891685.10000000 PA USD 1873562.76000000 0.006490979088 Long LON CORP US N 2 2024-04-27 Variable 0.04400000 N N N N N N CPM HLDGS INC 549300FBUISJCXV8IB65 12654NAC7 1168820.29400000 PA USD 1155308.73000000 0.004002579986 Long LON CORP US N 2 2025-11-15 Variable 0.05353380 N N N N N N BRIGHTVIEW LANDSCAPES LLC 549300OSAEQC89PVOW06 10801XAG2 2245022.42700000 PA USD 2216959.65000000 0.007680681445 Long LON CORP US N 2 2025-08-15 Variable 0.04159270 N N N N N N WFRBS COML MTG TR 2014-C21 5493000F7E2NMQ4HIO61 92939FBA6 55124160.81810000 PA USD 2071130.48000000 0.007175454658 Long ABS-MBS CORP US N 2 2047-08-15 Variable 0.01036170 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TBK4 1099.60580000 PA USD 1209.58000000 0.000004190603 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07000000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAG8 6576000.00000000 PA USD 7385302.47000000 0.025586462816 Long DBT CORP US N 2 2029-04-15 Fixed 0.05250000 N N N N N N DBGS 2019-1735 MTG TR N/A 23307EAN1 1188000.00000000 PA USD 1210595.05000000 0.004194120059 Long ABS-MBS CORP US N 2 2037-04-10 Variable 0.04194550 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W4LJ8 14657.97740000 PA USD 15496.65000000 0.000053688316 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208N2L6 1391.75610000 PA USD 1519.51000000 0.000005264359 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N INTERCONTINENTAL EXCHANGE INC 5493000F4ZO33MV32P92 45866FAC8 4134000.00000000 PA USD 4170520.58000000 0.014448815086 Long DBT CORP US N 2 2020-12-01 Fixed 0.02750000 N N N N N N COMSTOCK ESCROW CORP 5493002T9WS7HVNHHL49 205677AB3 9189000.00000000 PA USD 7695787.50000000 0.026662141667 Long DBT CORP US N 2 2026-08-15 Fixed 0.09750000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SAM5 17795000.00000000 PA USD 18118277.49000000 0.062770974536 Long DBT CORP US N 2 2042-08-09 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JM2S7 94997.89180000 PA USD 102943.75000000 0.000356649770 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406E3F9 43383.62920000 PA USD 47776.21000000 0.000165521212 Long ABS-MBS USGSE US N 2 2035-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMCL5 142.79130000 PA USD 143.70000000 0.000000497850 Long ABS-MBS USGSE US N 2 2020-09-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F5CP6 1982241.68160000 PA USD 2109900.42000000 0.007309773548 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293TDP9 295.25920000 PA USD 333.65000000 0.000001155934 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FA24 28828.80770000 PA USD 31538.57000000 0.000109265727 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31396UAR1 346092.65160000 PA USD 409933.63000000 0.001420219635 Long ABS-CBDO USGSE US N 2 2036-07-15 Fixed 0.06000000 N N N N N N HOME PARTNERS AMER 2018-1 TR N/A 43730WAL0 708000.00000000 PA USD 704773.57000000 0.002441695897 Long ABS-CBDO CORP US N 2 2037-07-17 Variable 0.04008500 N N N N N N WILLIAMS PARTNERS LP N/A 96950FAL8 4667000.00000000 PA USD 5063647.12000000 0.017543061949 Long DBT CORP US N 2 2023-11-15 Fixed 0.04500000 N N N N N N FINCO I LLC N/A 31774BAD6 1561687.92000000 PA USD 1545102.79000000 0.005353025856 Long LON CORP US N 2 2022-12-27 Variable 0.03603380 N N N N N N JP MORGAN CHASE COML MTG SECS TR 2012-CIBX N/A 46637WAH6 159000.00000000 PA USD 166698.32000000 0.000577528189 Long ABS-MBS CORP US N 2 2045-06-15 Variable 0.05132024 N N N N N N UKRAINE CABINET OF MINISTERS 6354001WLTJXOMEXPY07 903724AN2 13125000.00000000 PA USD 13814062.50000000 0.047858973675 Long DBT NUSS UA N 2 2021-09-01 Fixed 0.07750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376ULM4 292.17220000 PA USD 322.85000000 0.000001118517 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213D3E6 950.59010000 PA USD 1033.97000000 0.000003582200 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HHS4 3204.26790000 PA USD 3544.91000000 0.000012281380 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295DUT4 19966.41920000 PA USD 21668.76000000 0.000075071660 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 0.04000000 N N N N N N SUNOCO LP / SUNOCO FIN CORP N/A 86765LAJ6 3130000.00000000 PA USD 3120672.60000000 0.010811605044 Long DBT CORP US N 2 2023-01-15 Fixed 0.04875000 N N N N N N AMWINS GROUP INC 549300SJE7MUB8NMRG61 03234TAR9 4985468.73300000 PA USD 4960541.39000000 0.017185850997 Long LON CORP US N 2 2024-01-25 Variable 0.04363850 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385ATC1 724.12410000 PA USD 833.90000000 0.000002889055 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 0.07500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3129424K8 17054.27260000 PA USD 18875.78000000 0.000065395350 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210T5E2 440.31830000 PA USD 496.44000000 0.000001719921 Long ABS-MBS USGA US N 2 2029-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AVXR1 34415.60170000 PA USD 37418.90000000 0.000129638196 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N DAVIDS BRIDAL INC N/A N/A 518.00000000 NS USD 64.75000000 0.000000224327 Long EC CORP US N 3 N N N INDEPENDENCE PLAZA TR 2018-INDP N/A 45378YAS3 1064000.00000000 PA USD 1152519.16000000 0.003992915490 Long ABS-MBS CORP US N 2 2035-07-10 Fixed 0.04996000 N N N N N N NATIXIS COML MTG SECS TR 2018 N/A 63874LAS3 245000.00000000 PA USD 243154.83000000 0.000842412621 Long ABS-MBS CORP US N 2 2034-11-15 Variable 0.04658500 N N N N N N JAMAICA GOVT OF N/A 470160CA8 155000.00000000 PA USD 181350.00000000 0.000628289098 Long DBT NUSS JM N 2 2028-04-28 Fixed 0.06750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 362165HC9 119.86750000 PA USD 126.89000000 0.000000439611 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HPYR9 138929.43880000 PA USD 150810.34000000 0.000522484105 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.04000000 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AK4 9389000.00000000 PA USD 10173806.42000000 0.035247265866 Long DBT CORP US N 2 2024-11-06 Fixed 0.03950000 N N N N N N EMPRESA NACIONAL DEL PETROLEO 549300YP3P0JZBLIV197 29245JAH5 5762000.00000000 PA USD 6123925.63000000 0.021216408678 Long DBT CORP CL N 2 2024-10-30 Fixed 0.04375000 N N N N N N AEROPUERTOS ARGENTINA 2000 SA 549300349K24AVAQ7B24 00786PAC8 3581375.00000000 PA USD 3223237.50000000 0.011166942285 Long DBT CORP AR N 2 2027-02-01 Fixed 0.06875000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2011-C5 N/A 46636VAM8 726000.00000000 PA USD 760411.17000000 0.002634452983 Long ABS-MBS CORP US N 2 2046-08-15 Variable 0.05417840 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378FU94 207.16060000 PA USD 232.87000000 0.000000806780 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.07500000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RDC3 1500000.00000000 PA USD 1650107.90000000 0.005716817232 Long DBT CORP US N 2 2024-04-01 Fixed 0.04450000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404121AF2 379000.00000000 PA USD 412003.29000000 0.001427389995 Long DBT CORP US N 2 2023-05-01 Fixed 0.04750000 N N N N N N VERITAS-B JUNIOR MEZZ C, LLC N/A N/A 2878000.00000000 PA USD 2925199.20000000 0.010134385269 Long LON CORP US N 3 2021-02-06 Variable 0.10480000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CC2 5431000.00000000 PA USD 5826774.13000000 0.020186923991 Long DBT CORP US N 2 2023-12-05 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128286Z8 284750000.00000000 PA USD 294760742.19000000 1.021201880398 Long DBT UST US N 2 2024-06-30 Fixed 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H4JT2 63646.24000000 PA USD 66111.04000000 0.000229042435 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206MZW0 105.32930000 PA USD 116.85000000 0.000000404828 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N BX TRUST 2019 N/A 056054AH2 27445791.32000000 PA USD 27567123.67000000 0.095506607561 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.03458500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312944WL1 3414951.79500000 PA USD 3778623.33000000 0.013091082690 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04500000 N N N N N N NATGASOLINE LLC 549300OHXDYMQYZOWC24 63232EAB3 1786950.00000000 PA USD 1773547.88000000 0.006144476420 Long LON CORP US N 2 2025-11-14 Variable 0.05437500 N N N N N N DEUTSCHE FINL CAP SEC LLC N/A 251547AG0 17484.27400000 PA USD 17557.02000000 0.000060826491 Long ABS-CBDO CORP US N 2 2027-09-15 Fixed 0.07275000 N N N N N N JPMCC MTG SECS TR N/A 46645FAQ3 1253000.00000000 PA USD 1254233.58000000 0.004345306233 Long ABS-MBS CORP US N 2 2032-09-05 Variable 0.03621000 N N N N N N SS and C TECHNOLOGIES INC 549300KY09TR3J12JU49 78466CAC0 9175000.00000000 PA USD 9656687.50000000 0.033455701597 Long DBT CORP US N 2 2027-09-30 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402UKZ4 81893.43470000 PA USD 89616.08000000 0.000310475909 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N CCO HLDGS LLC/CCO HLDGS CAP CORP N/A 1248EPBF9 6996000.00000000 PA USD 7077853.20000000 0.024521301389 Long DBT CORP US N 2 2023-05-01 Fixed 0.05125000 N N N N N N CAMB COML MTG TR 2019-LIFE N/A 12482HAS3 1264000.00000000 PA USD 1267956.45000000 0.004392849269 Long ABS-MBS CORP US N 2 2037-12-15 Variable 0.04908500 N N N N N N CDK GLOBAL INC 5493000L10CYRTHIJ385 12508EAG6 2418000.00000000 PA USD 2529953.40000000 0.008765051784 Long DBT CORP US N 2 2026-06-15 Fixed 0.05875000 N N N N N N FREEPORT MCMORAN IN 549300IRDTHJQ1PVET45 35671DAZ8 1962000.00000000 PA USD 1972398.60000000 0.006833396958 Long DBT CORP US N 2 2023-03-15 Fixed 0.03875000 N N N N N N LAMAR FDG LTD 549300TSXHL7X0727895 513063AA5 655000.00000000 PA USD 629209.38000000 0.002179902918 Long DBT CORP KY N 2 2025-05-07 Fixed 0.03958000 N N N N N N AASET 2018-1 TR N/A 000367AA0 11295565.06470000 PA USD 11433280.59000000 0.039610728182 Long ABS-CBDO CORP US N 2 2038-01-16 Fixed 0.03844000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WLCE1 3950501.37300000 PA USD 4260399.64000000 0.014760202092 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04000000 N N N N N N BANK 2019-BNK20 N/A 06540BAN9 1344000.00000000 PA USD 995985.72000000 0.003450603640 Long ABS-MBS CORP US N 2 2052-10-17 Fixed 0.02681800 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207MLM6 547.28370000 PA USD 617.91000000 0.000002140756 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31382KTP3 200.50340000 PA USD 231.53000000 0.000000802138 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212HED8 754.95040000 PA USD 869.37000000 0.000003011942 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N DB MASTER FIN LLC 549300F17UZJL70BPB08 233046AE1 10816037.50000000 PA USD 11107637.87000000 0.038482535344 Long ABS-CBDO CORP US N 2 2047-11-20 Fixed 0.03629000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419LLU5 61661.28950000 PA USD 67032.57000000 0.000232235086 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206WCZ6 994.02980000 PA USD 1100.03000000 0.000003811066 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TRN1 71.37420000 PA USD 81.77000000 0.000000283293 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.07500000 N N N N N N AGNC INVESTMENT CORP 5TRACI5HRMELWV32OF39 00123Q807 40400.00000000 NS USD 999092.00000000 0.003461365382 Long EP CORP US N 1 N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2012-C6 N/A 61761DAU6 693000.00000000 PA USD 693895.22000000 0.002404007732 Long ABS-MBS CORP US N 2 2045-11-15 Variable 0.04607399 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H5FR7 11080075.22000000 PA USD 11648219.37000000 0.040355385983 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.03500000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAF9 6555000.00000000 PA USD 6621533.25000000 0.022940375830 Long DBT CORP US N 2 2027-07-31 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406EWL4 19717.71910000 PA USD 21665.21000000 0.000075059361 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210C6C2 971.15390000 PA USD 1119.00000000 0.000003876787 Long ABS-MBS USGA US N 2 2029-10-15 Fixed 0.07000000 N N N N N N PARK PL SECS INC N/A 70069FFL6 939804.00000000 PA USD 944338.18000000 0.003271670161 Long ABS-CBDO CORP US N 2 2036-01-25 Variable 0.02871750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419ESB6 777921.92840000 PA USD 845807.83000000 0.002930310664 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213BQD7 420.77130000 PA USD 486.35000000 0.000001684965 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MY35 10097.00150000 PA USD 11191.36000000 0.000038772591 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.07000000 N N N N N N CF INDS INC 5FVKT86LAD2F40NPC183 12527GAF0 178000.00000000 PA USD 199894.00000000 0.000692534993 Long DBT CORP US N 2 2034-03-15 Fixed 0.05150000 N N N N N N WFRBS COML MTG TR 2011-C3 N/A 92935VAQ1 229000.00000000 PA USD 236036.69000000 0.000817751746 Long ABS-MBS CORP US N 2 2044-03-15 Fixed 0.05335000 N N N N N N MORGAN STANLEY CAP I TR 2019-MEAD N/A 61771LAE2 4445000.00000000 PA USD 4614858.12000000 0.015988227451 Long ABS-MBS CORP US N 2 2036-11-10 Fixed 0.03177090 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GK4R4 51225.55700000 PA USD 55830.35000000 0.000193424870 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291Q2R4 1435.27420000 PA USD 1682.27000000 0.000005828243 Long ABS-MBS USGA US N 2 2035-07-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FU62 1818.75400000 PA USD 2120.15000000 0.000007345283 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223QA49 283.48200000 PA USD 291.89000000 0.000001011256 Long ABS-MBS USGA US N 2 2022-05-15 Fixed 0.08000000 N N N N N N BX TRUST 2019 N/A 05608BAL4 7862000.00000000 PA USD 7866946.77000000 0.027255124867 Long ABS-MBS CORP US N 2 2034-04-15 Variable 0.03558500 N N N N N N FLATIRON CLO LTD N/A 33883JAB7 22515000.00000000 PA USD 22521754.50000000 0.078026869773 Long ABS-CBDO CORP KY N 2 2032-11-16 Variable 0.03214910 N N N N N N GS MTG SECS TR 2019-GSA1 N/A 36261PAE2 357000.00000000 PA USD 308954.01000000 0.001070374615 Long ABS-MBS CORP US N 2 2052-11-10 Fixed 0.02800000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QWYP8 476806.18120000 PA USD 503275.36000000 0.001743603100 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A44E2 314155.35260000 PA USD 341423.09000000 0.001182864105 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N CHARTER COMM OPER LLC/CAP CORP N/A 161175BL7 32692000.00000000 PA USD 37616777.48000000 0.130323745325 Long DBT CORP US N 2 2047-05-01 Fixed 0.05375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204RAY4 95.94250000 PA USD 105.04000000 0.000000363912 Long ABS-MBS USGA US N 2 2024-07-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L5FH1 515769.49230000 PA USD 546980.51000000 0.001895020080 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N CSMC 2019-ICE4 N/A 12653VAL0 693000.00000000 PA USD 694737.77000000 0.002406926756 Long ABS-MBS CORP US N 2 2036-05-15 Variable 0.04308500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200WRD5 3276.18230000 PA USD 3686.47000000 0.000012771816 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36292LE83 25685.00310000 PA USD 28675.93000000 0.000099348079 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 0.05000000 N N N N N N ASCEND LEARNING LLC 549300T466HKRLVCD610 043502AB9 6935000.00000000 PA USD 7143050.00000000 0.024747176430 Long DBT CORP US N 2 2025-08-01 Fixed 0.06875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NPJ8 16677.13020000 PA USD 18553.33000000 0.000064278218 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.06500000 N N N N N N PERU, REPUBLIC OF 254900STKLK2DBJJZ530 N/A 866000.00000000 PA USD 871415.18000000 0.003019027614 Long DBT NUSS PE N 3 2027-03-07 Variable 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401XT80 354706.52450000 PA USD 395245.65000000 0.001369332964 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407YEG0 1352.98080000 PA USD 1595.44000000 0.000005527419 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946BR6 142748.10600000 PA USD 157949.91000000 0.000547219225 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210UBJ1 1175.96970000 PA USD 1341.84000000 0.000004648819 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 0.07000000 N N N N N N FOREST CITY ENTERPRISES LP 54930078MCT017XXRD21 34555QAF7 1168200.00000000 PA USD 1157978.25000000 0.004011828568 Long LON CORP US N 2 2025-12-07 Variable 0.05103380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292HZM9 1236.48170000 PA USD 1379.46000000 0.000004779154 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.05000000 N N N N N N BARBADOS GOVT OF 529900UD1KUUS4SFD905 067070AJ1 165000.00000000 PA USD 165082.50000000 0.000571930163 Long DBT NUSS BB N 2 2021-02-01 Fixed 0.06500000 N N N N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAH0 3477000.00000000 PA USD 3641422.71000000 0.012615749611 Long DBT CORP US N 2 2023-06-15 Fixed 0.03125000 N N N N N N JONAH ENERGY LLC / JONAH ENERGY FINANCE CORP N/A 47987LAA9 4725000.00000000 PA USD 1134000.00000000 0.003928755653 Long DBT CORP US N 2 2025-10-15 Fixed 0.07250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374PQM2 440.13120000 PA USD 475.92000000 0.000001648830 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N HEIMSTADEN BOSTAD AB 549300TJR3PR8EXILG79 N/A 3300000.00000000 PA 3712252.65000000 0.012861140729 Long DBT CORP SE N 2 2026-01-21 Fixed 0.01125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207Q4Q7 316.98180000 PA USD 360.51000000 0.000001248990 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296XZ64 88232.80490000 PA USD 98613.54000000 0.000341647709 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J4G37 278131.89600000 PA USD 290700.09000000 0.001007133705 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.03000000 N N N N N N FREEPORT MCMORAN IN 549300IRDTHJQ1PVET45 35671DAU9 3294000.00000000 PA USD 3323316.60000000 0.011513667443 Long DBT CORP US N 2 2022-03-01 Fixed 0.03550000 N N N N N N BAHRAIN KINGDOM 549300RODM1WN85LFQ95 05674RAA2 495000.00000000 PA USD 494381.25000000 0.001712789357 Long DBT NUSS BH N 2 2020-03-31 Fixed 0.05500000 N N N N N N METROPOLITAN LIFE GLBL FDG I 635400MMSOCXNNNZDZ82 59217GAX7 5030000.00000000 PA USD 5266933.57000000 0.018247350124 Long DBT CORP US N 2 2023-01-10 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213FZA4 1158.77200000 PA USD 1345.64000000 0.000004661984 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375BWX1 136.41910000 PA USD 152.03000000 0.000000526709 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 0.07000000 N N N N N N UNITED PF HOLDINGS LLC N/A 91132UAG8 1668432.20000000 PA USD 1658004.50000000 0.005744175091 Long LON CORP US N 2 2026-12-30 Variable 0.05603380 N N N N N N OIL AND GAS HOLDING CO BSCC/THE 549300OBH16L6TS6IW50 67778M2A7 1182000.00000000 PA USD 1355236.88000000 0.004695233293 Long DBT CORP BH N 2 2027-10-25 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297F2V3 5588.62720000 PA USD 6240.90000000 0.000021621667 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210BSD8 1056.85970000 PA USD 1214.24000000 0.000004206748 Long ABS-MBS USGA US N 2 2029-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402UP71 90301.30440000 PA USD 98611.25000000 0.000341639775 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XYLF2 2029388.96600000 PA USD 2171228.03000000 0.007522243737 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMXR9 472728.06300000 PA USD 486650.38000000 0.001686005671 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.02500000 N N N N N N MORGAN STANLEY CAP I TR 2011-C2 3IFG42XD94UUZ7FL2766 617459AK8 839000.00000000 PA USD 823643.87000000 0.002853523378 Long ABS-MBS CORP US N 2 2044-06-15 Variable 0.05487622 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224SU75 60.30550000 PA USD 64.26000000 0.000000222629 Long ABS-MBS USGA US N 2 2023-03-15 Fixed 0.07500000 N N N N N N SAGE BORROWCO LLC N/A 78662TAB7 2736873.43000000 PA USD 2731180.73000000 0.009462206114 Long LON CORP US N 2 2026-06-20 Variable 0.06353380 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202F2M7 372083.80260000 PA USD 400525.00000000 0.001387623331 Long ABS-MBS USGA US N 2 2042-01-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36219CTU8 747.43620000 PA USD 827.14000000 0.000002865635 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373UDJ3 197.17270000 PA USD 216.36000000 0.000000749581 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 89364MBR4 8618182.71900000 PA USD 8413500.88000000 0.029148667680 Long LON CORP US N 2 2025-12-09 Variable 0.03853380 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FX84 5881717.30260000 PA USD 6331301.66000000 0.021934865248 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 0.04000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2013-LC11 N/A 46639YAX5 1638000.00000000 PA USD 1500774.26000000 0.005199449170 Long ABS-MBS CORP US N 2 2046-04-15 Variable 0.04167638 N N N N N N FRONT RANGE BIDCO INC N/A 98919VAA3 2850000.00000000 PA USD 2768062.50000000 0.009589983418 Long DBT CORP US N 2 2027-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W5GX0 138402.59570000 PA USD 143156.72000000 0.000495968053 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GSRN4 1024673.45100000 PA USD 1103825.17000000 0.003824214618 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04500000 N N N N N N FORD MTR CR CO LLC UDSQCVRUX5BONN0VY111 345397ZQ9 29686000.00000000 PA USD 31762580.23000000 0.110041813628 Long DBT CORP US N 2 2024-03-18 Fixed 0.05584000 N N N N N N TURKIYE GARANTI BANKASI AS 5493002XSS7K7RHN1V37 N/A 2600000.00000000 PA USD 2647125.00000000 0.009170994100 Long DBT CORP TR N 2 2021-04-20 Fixed 0.06250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WFHL3 562392.58080000 PA USD 593516.12000000 0.002056243220 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F2CV0 192721.76510000 PA USD 205313.95000000 0.000711312470 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225ARU6 379.74450000 PA USD 419.25000000 0.000001452496 Long ABS-MBS USGA US N 2 2027-01-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200VF99 5345.90830000 PA USD 6238.36000000 0.000021612867 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AT34 173.88590000 PA USD 192.80000000 0.000000667957 Long ABS-MBS USGA US N 2 2027-05-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CFG4 6056069.88800000 PA USD 6319304.84000000 0.021893302132 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RXZ1 79394.06840000 PA USD 86088.81000000 0.000298255642 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAB9 13396000.00000000 PA USD 14087550.95000000 0.048806477461 Long DBT CORP US N 2 2022-08-15 Fixed 0.03875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132DV3U7 3999602.66000000 PA USD 4153442.18000000 0.014389646778 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207J2V4 235.43120000 PA USD 267.32000000 0.000000926133 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9S44 71090.40560000 PA USD 79387.66000000 0.000275039433 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARMG3 554629.15600000 PA USD 601917.06000000 0.002085348370 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N NATIXIS COML MTG SECS TR 2018-FL1 N/A 63874MBE1 128000.00000000 PA USD 127579.56000000 0.000442000809 Long ABS-MBS CORP US N 2 2035-06-15 Variable 0.05427000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MER4 12790.42710000 PA USD 15052.03000000 0.000052147925 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213UEQ9 166.61660000 PA USD 193.59000000 0.000000670694 Long ABS-MBS USGA US N 2 2031-12-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AHH6 80.32690000 PA USD 84.02000000 0.000000291088 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HMLZ2 3149840.43040000 PA USD 3361170.78000000 0.011644813672 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N MARKS and SPENCER PLC 213800CN1RI3UCIZWB95 N/A 3650000.00000000 PA 4744974.11000000 0.016439015750 Long DBT CORP GB N 2 2027-07-10 Fixed 0.03250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H022648 103000000.00000000 PA USD 105631444.00000000 0.365961316424 Long ABS-MBS USGA US N 2 2050-04-01 Fixed 0.02500000 N N N N N N PUBLIC STORAGE 549300LMZF40TKJ6DM64 74460W685 39800.00000000 NS USD 1010522.00000000 0.003500964744 Long EP CORP US N 1 N N N FED HOME LOAN MTG CORP - GOLD N/A 312972SX1 287.17780000 PA USD 288.23000000 0.000000998576 Long ABS-MBS USGSE US N 2 2020-07-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206UDQ9 310.19020000 PA USD 342.83000000 0.000001187738 Long ABS-MBS USGA US N 2 2025-12-15 Fixed 0.07000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CX1 1024000.00000000 PA USD 983182.51000000 0.003406246776 Long DBT CORP US N 2 2039-08-15 Fixed 0.04300000 N N N N N N CAESARS RESORT COLLECTION LLC N/A 12769LAB5 16035775.17800000 PA USD 15447743.30000000 0.053518879036 Long LON CORP US N 2 2024-12-22 Variable 0.04353380 N N N N N N BRAEMAR HOTELS and RESORTS TRUST 2018-PRIME N/A 10482TAN2 294000.00000000 PA USD 294557.04000000 0.001020496151 Long ABS-MBS CORP US N 2 2035-06-15 Variable 0.04058500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EHAP7 609291.76610000 PA USD 723688.31000000 0.002507226225 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQYG2 8462.48300000 PA USD 9450.17000000 0.000032740219 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GKGW0 410634.77670000 PA USD 447547.76000000 0.001550534208 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132CWA79 4758304.01600000 PA USD 4946574.40000000 0.017137462205 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HQEQ1 920984.72880000 PA USD 968658.12000000 0.003355926865 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241L5K8 3110385.02470000 PA USD 3307177.84000000 0.011457754529 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.03500000 N N N N N N IHEARTCOMMUNICATIONS INC 54930076J6KDZL504O62 45174UAF5 1375000.00000000 PA USD 1347500.00000000 0.004668428786 Long LON CORP US N 2 2026-05-01 Variable 0.04655000 N N N N N N VALVOLINE INC 549300CMHPBEY6VPOT75 92047WAD3 1205000.00000000 PA USD 1188431.25000000 0.004117333326 Long DBT CORP US N 2 2030-02-15 Fixed 0.04250000 N N N N N N AMERADA HESS CORP N/A 023551AJ3 4354000.00000000 PA USD 5570463.36000000 0.019298932468 Long DBT CORP US N 2 2031-08-15 Fixed 0.07300000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L7FF1 1452529.30890000 PA USD 1538635.10000000 0.005330618472 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J67F5 124186.39750000 PA USD 134690.08000000 0.000466635285 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N AP GAMING I LLC N/A 00124TAR8 1116143.04000000 PA USD 1099400.89000000 0.003808886651 Long LON CORP US N 2 2024-02-15 Variable 0.05103380 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MVS6 390639.36420000 PA USD 415380.59000000 0.001439090689 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TEZ4 12253698.82700000 PA USD 12899593.74000000 0.044690786452 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KRZ0 229433.59300000 PA USD 249455.28000000 0.000864240601 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FU30 28056.24670000 PA USD 29740.43000000 0.000103036051 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GKY91 16389.74870000 PA USD 17863.06000000 0.000061886770 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945HN1 12699.45950000 PA USD 14151.49000000 0.000049027995 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.05000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BPQ9 1318150.17610000 PA USD 1323016.39000000 0.004583605046 Long ABS-CBDO USGA US N 2 2062-01-20 Variable 0.02364380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207JSJ3 389.86330000 PA USD 439.95000000 0.000001524211 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402RLZ0 9815.17330000 PA USD 11528.90000000 0.000039942002 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374R4J9 909.95920000 PA USD 1008.04000000 0.000003492365 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07000000 N N N N N N TURKIYE IS BANK AS 789000FIRX9MDN0KTM91 900151AJ0 901000.00000000 PA USD 899873.75000000 0.003117622648 Long DBT CORP TR N 2 2022-04-21 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KZH1 10596.76710000 PA USD 11719.98000000 0.000040604001 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N TIAA SEASONED COML MTG TR 2007 C4 N/A 87246AAK4 1110000.00000000 PA USD 1089906.23000000 0.003775992295 Long ABS-MBS CORP US N 2 2039-08-15 Variable 0.05524653 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36181TPZ8 89982.36700000 PA USD 93835.75000000 0.000325095002 Long ABS-MBS USGA US N 2 2043-08-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GSLX5 257438.97740000 PA USD 280098.11000000 0.000970403027 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RNX3 45594.99500000 PA USD 48709.71000000 0.000168755333 Long ABS-MBS USGA US N 2 2045-09-20 Fixed 0.04000000 N N N N N N BX 2020-BXLP N/A 05607QAN8 10739000.00000000 PA USD 10749107.55000000 0.037240403050 Long ABS-MBS CORP US N 2 2029-12-15 Variable 0.02778500 N N N N N N NEXTERA ENERGY OPERATING PARTNERS LP 549300KJEC5IUVJWR786 65342QAC6 3341000.00000000 PA USD 3363384.70000000 0.011652483823 Long DBT CORP US N 2 2024-09-15 Fixed 0.04250000 N N N N N N ALMONDE INC 549300ZB2RO6QC7YTK71 02034DAF4 4012000.00000000 PA USD 3813927.56000000 0.013213394589 Long LON CORP US N 2 2025-06-13 Variable 0.09027130 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208MXA8 742.81800000 PA USD 845.68000000 0.000002929867 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180ULZ0 50620.68570000 PA USD 53949.99000000 0.000186910342 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283K4S4 1062.58670000 PA USD 1064.59000000 0.000003688283 Long ABS-MBS USGSE US N 2 2020-07-01 Fixed 0.05000000 N N N N N N NORTH CAROLINA ST ED ASSISTANCE AUTH REV N/A 658262GC8 2105099.93800000 PA USD 2106236.69000000 0.007297080514 Long ABS-CBDO MUN US N 2 2025-07-25 Variable 0.02594130 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31397CXF1 168114.42540000 PA USD 186338.30000000 0.000645571119 Long ABS-CBDO USGSE US N 2 2036-12-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132AEEY8 35700031.49400000 PA USD 37073186.80000000 0.128440469348 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206B2C4 884.83790000 PA USD 981.65000000 0.000003400937 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GDDT6 216489.16450000 PA USD 239543.94000000 0.000829902653 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208V4C6 218.60800000 PA USD 245.79000000 0.000000851542 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N CANADIAN NATL RESOURCES LTD 549300T15RIMIKZC5Q38 136385AV3 15925000.00000000 PA USD 17304204.69000000 0.059950610237 Long DBT CORP CA N 2 2025-02-01 Fixed 0.03900000 N N N N N N CHARTER COMM OPER LLC/CAP CORP N/A 161175BB9 13008000.00000000 PA USD 13804022.09000000 0.047824188562 Long DBT CORP US N 2 2022-07-23 Fixed 0.04464000 N N N N N N ALTICE FING SA 549300DIYGW8HVDF7Q17 N/A 2479295.45000000 PA USD 2384784.71000000 0.008262113238 Long LON CORP LU N 2 2026-01-31 Variable 0.04389380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GNG1 215781.53260000 PA USD 235955.98000000 0.000817472125 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31365EA60 76.70230000 PA USD 81.34000000 0.000000281803 Long ABS-MBS USGSE US N 2 2023-09-01 Fixed 0.06500000 N N N N N N SUNDYNE US PURCHASER INC N/A 86732LAB3 900000.00000000 PA USD 901872.00000000 0.003124545607 Long LON CORP US N 2 2026-05-15 Variable 0.05603380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5B73 101517.56840000 PA USD 113080.58000000 0.000391768931 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MR6E6 48810.68820000 PA USD 51603.46000000 0.000178780762 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GEO GROUP INC NEW 5493003VOR6NTY465495 36162JAA4 1240000.00000000 PA USD 1159400.00000000 0.004016754237 Long DBT CORP US N 2 2024-10-15 Fixed 0.05875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296Q6R5 30969.75450000 PA USD 34219.64000000 0.000118554324 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H030641 195600000.00000000 PA USD 201894153.72000000 0.699464548394 Long ABS-MBS USGA US N 2 2050-04-01 Fixed 0.03000000 N N N N N N RECESS HOLDINGS INC N/A 72811HAC4 774555.24300000 PA USD 766809.69000000 0.002656620727 Long LON CORP US N 2 2024-09-29 Variable 0.05353380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LX84 8206.10260000 PA USD 8732.99000000 0.000030255541 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARHT1 30859.53450000 PA USD 33490.63000000 0.000116028661 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403R2C1 764.37740000 PA USD 856.29000000 0.000002966626 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GSS67 66440.32880000 PA USD 72288.24000000 0.000250443414 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202F2L9 29530.73800000 PA USD 31437.99000000 0.000108917267 Long ABS-MBS USGA US N 2 2042-01-20 Fixed 0.03500000 N N N N N N BRAZIL, FEDERATIVE REPUBLIC OF 254900ZFY40OYEADAP90 105756BK5 540000.00000000 PA USD 725625.00000000 0.002513935909 Long DBT NUSS BR N 2 2037-01-20 Fixed 0.07125000 N N N N N N GLOBAL PARTNERS LP / GLP FIN CORP N/A 37954FAD6 6352000.00000000 PA USD 6518740.00000000 0.022584247469 Long DBT CORP US N 2 2023-06-15 Fixed 0.07000000 N N N N N N MADISON PARK FUNDING XXXIII LTD N/A 55819JAA1 10889000.00000000 PA USD 10893355.60000000 0.037740152029 Long ABS-CBDO CORP KY N 2 2032-10-15 Variable 0.03174050 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395BTU7 303393.63570000 PA USD 283905.48000000 0.000983593703 Long ABS-CBDO USGSE US N 2 2036-03-25 Fixed 0.00000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204H4U1 71.94080000 PA USD 77.63000000 0.000000268950 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XAB6 4771556.32060000 PA USD 5187949.52000000 0.017973709001 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178UPS6 92513.33030000 PA USD 96590.74000000 0.000334639696 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YFK94 26814.65110000 PA USD 30542.19000000 0.000105813758 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209HGH2 175.23510000 PA USD 197.39000000 0.000000683859 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAC9 2380000.00000000 PA USD 2383689.00000000 0.008258317138 Long DBT CORP US N 2 2025-02-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378MRQ5 736.20870000 PA USD 840.71000000 0.000002912649 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N MORGAN STANLEY CAP CITIGROUP TR 2016-SNR N/A 61691CAG4 4567900.00000000 PA USD 4653306.48000000 0.016121432223 Long ABS-MBS CORP US N 2 2034-11-15 Fixed 0.04181000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223MXG6 13.53780000 PA USD 14.05000000 0.000000048676 Long ABS-MBS USGA US N 2 2021-11-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AN6B1 19579.79030000 PA USD 21585.49000000 0.000074783170 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374GLZ8 6887.20070000 PA USD 7716.10000000 0.000026732514 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GDLP5 6025.44330000 PA USD 6714.38000000 0.000023262044 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.05000000 N N N N N N DCERT BUYER INC N/A 24022KAB5 4900000.00000000 PA USD 4844875.00000000 0.016785123498 Long LON CORP US N 2 2026-10-16 Variable 0.05603380 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38380HES7 14670203.70200000 PA USD 15555230.68000000 0.053891270263 Long ABS-CBDO USGA US N 2 2047-09-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403CUZ2 1811.58880000 PA USD 2129.03000000 0.000007376048 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390DRP1 2397.74590000 PA USD 2782.59000000 0.000009640314 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225B6E3 7644.94970000 PA USD 8451.02000000 0.000029278653 Long ABS-MBS USGA US N 2 2033-11-15 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FXJ0 22146.02200000 PA USD 23583.25000000 0.000081704432 Long ABS-MBS USGA US N 2 2041-09-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SWX1 11660141.55100000 PA USD 12292968.92000000 0.042589127994 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 0.03500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828ZB9 20051000.00000000 PA USD 20155954.55000000 0.069830529448 Long DBT UST US N 2 2027-02-28 Fixed 0.01125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209MZ31 390.15200000 PA USD 436.14000000 0.000001511011 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211HVP3 80.32930000 PA USD 91.59000000 0.000000317314 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203FXE0 311.69920000 PA USD 334.79000000 0.000001159883 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390KP36 4407.27390000 PA USD 5215.28000000 0.000018068395 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBJ41 8869072.44500000 PA USD 9609154.86000000 0.033291024236 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YTFP4 106654.96470000 PA USD 115154.86000000 0.000398955297 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205HFH7 247.24510000 PA USD 266.28000000 0.000000922530 Long ABS-MBS USGA US N 2 2024-04-15 Fixed 0.08000000 N N N N N N WASH MULTIFAMILY ACQUISITION INC 549300AS7PRY5PHG6L12 93710HAG3 458662.53200000 PA USD 452929.25000000 0.001569178440 Long LON CORP US N 2 2022-05-14 Variable 0.04853380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205JVQ5 251.61200000 PA USD 274.32000000 0.000000950384 Long ABS-MBS USGA US N 2 2024-05-15 Fixed 0.07500000 N N N N N N SRI LANKA GOVT DEMOCRATIC SOCIALIST REP 254900HXCCIOHM74FA02 85227SAV8 331000.00000000 PA USD 328103.75000000 0.001136719103 Long DBT NUSS LK N 2 2023-04-18 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374GNC7 1597.14140000 PA USD 1791.26000000 0.000006205840 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07000000 N N N N N N NORTH AMERICAN LIFTING HOLDINGS INC 5493008KV4SRQC7D1587 87259BAK6 1015000.00000000 PA USD 571779.95000000 0.001980938016 Long LON CORP US N 2 2021-11-27 Variable 0.10944630 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJZR4 261194.01770000 PA USD 275698.10000000 0.000955159143 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.03500000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46625HRV4 11773000.00000000 PA USD 12480918.38000000 0.043240280995 Long DBT CORP US N 2 2026-10-01 Fixed 0.02950000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9UR1 13340.70700000 PA USD 14765.58000000 0.000051155516 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GDY97 150276.80490000 PA USD 166280.37000000 0.000576080197 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WPGS7 778949.24170000 PA USD 805949.57000000 0.002792221278 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417YHV2 70425.26910000 PA USD 77184.67000000 0.000267407150 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.05000000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F030637 -294550000.00000000 PA USD -303324379.41000000 -1.05087069710 Short ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402TVU6 122317.62210000 PA USD 133568.21000000 0.000462748553 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224WPF4 220.54930000 PA USD 232.68000000 0.000000806122 Long ABS-MBS USGA US N 2 2023-04-15 Fixed 0.07500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -39200000.00000000 NC USD -1819471.92000000 -0.00630358076 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-12-12 0.00000000 USD 0.00000000 USD -39200000.00000000 USD 1.00000000 1.90000000 USD 2024-12-10 XXXX -712071.92000000 N N N DEUTSCHE BANK AG NEW YORK BNCH 7LTWFZYICNSX8D621K86 251526BL2 30321000.00000000 PA USD 31121132.08000000 0.107819509355 Long DBT CORP US N 2 2022-11-16 Fixed 0.03300000 N N N N N N RADIATE HOLDCO LLC / RADIATE FIN INC N/A 75026JAB6 1509000.00000000 PA USD 1516545.00000000 0.005254087074 Long DBT CORP US N 2 2023-02-15 Fixed 0.06875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JNVT1 97800.27890000 PA USD 105980.54000000 0.000367170763 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AF7 15701000.00000000 PA USD 16715052.23000000 0.057909484965 Long DBT CORP US N 2 2023-07-15 Fixed 0.03750000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NLD8 85059.21400000 PA USD 90419.88000000 0.000313260683 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293PXU4 2071.81470000 PA USD 2275.96000000 0.000007885088 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.06000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810SF6 552560000.00000000 PA USD 722903887.50000000 2.504508584750 Long DBT UST US N 2 2049-02-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207MRU2 254.85090000 PA USD 288.37000000 0.000000999061 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AAA40 27772.07090000 PA USD 30380.40000000 0.000105253234 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HPPE8 445812.16790000 PA USD 483936.91000000 0.001676604824 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N TURKEY REPUBLIC OF 5493000PCHOG3B6S3Q85 900123CA6 6030000.00000000 PA USD 5741690.63000000 0.019892151256 Long DBT NUSS TR N 2 2023-03-23 Fixed 0.03250000 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 63861VAD9 5100000.00000000 PA USD 5300828.31000000 0.018364778829 Long DBT CORP GB N 2 2023-04-26 Variable 0.03622000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQF56 22793.22390000 PA USD 24446.33000000 0.000084694583 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N LEBANON REPUBLIC OF 529900QPC4K9S1KHL354 N/A 3526000.00000000 PA USD 1590666.75000000 0.005510882704 Long DBT NUSS LB N 2 2020-03-09 Fixed 0.06375000 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2018-LAQ N/A 46649VAJ0 705483.31400000 PA USD 705480.77000000 0.002444145999 Long ABS-MBS CORP US N 2 2032-06-15 Variable 0.03258500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206RXC5 593.88730000 PA USD 661.29000000 0.000002291046 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N BW GAS and CONVENIENCE HLDGS LLC N/A 05604YAB0 1625000.00000000 PA USD 1620937.50000000 0.005615756055 Long LON CORP US N 2 2024-11-18 Variable 0.07890000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MK4 3820000.00000000 PA USD 3767475.00000000 0.013052459176 Long EP CORP US N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403CZT1 14651.68410000 PA USD 17227.86000000 0.000059686113 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208DMD4 995.06340000 PA USD 1131.70000000 0.000003920787 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M8HN6 367312.66460000 PA USD 381616.44000000 0.001322114414 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31298YTZ4 1224.72960000 PA USD 1444.75000000 0.000005005352 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.07500000 N N N N N N MCC IOWA LLC 549300V1BEM86ZLI1F70 552662AU2 517087.60000000 PA USD 512888.85000000 0.001776909143 Long LON CORP US N 2 2025-01-15 Variable 0.03590000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176XQX0 1258010.36540000 PA USD 1344341.45000000 0.004657485954 Long ABS-MBS USGA US N 2 2042-05-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQFT4 1398609.31910000 PA USD 1509223.51000000 0.005228721691 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31298FZT2 307.04620000 PA USD 339.29000000 0.000001175473 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 0.08000000 N N N N N N ZOETIS INC 549300HD9Q1LOC9KLJ48 98978VAJ2 3299000.00000000 PA USD 3339438.48000000 0.011569521877 Long DBT CORP US N 2 2020-11-13 Fixed 0.03450000 N N N N N N DELOS FINANCE SARL 549300HX549YWOJQT076 N/A 1836100.00000000 PA USD 1824624.38000000 0.006321431524 Long LON CORP LU N 2 2023-10-06 Variable 0.03694630 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QHUH1 7928.46790000 PA USD 8271.85000000 0.000028657916 Long ABS-MBS USGSE US N 2 2037-05-01 Variable 0.03830000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BLW0 967940.43460000 PA USD 968760.38000000 0.003356281146 Long ABS-CBDO USGA US N 2 2061-04-20 Variable 0.02234380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203LER9 483.38670000 PA USD 515.10000000 0.000001784569 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 0.07500000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AQ0 6077000.00000000 PA USD 6396042.50000000 0.022159160611 Long DBT CORP US N 2 2027-04-15 Fixed 0.05500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128285D8 46915700.00000000 PA USD 50170476.69000000 0.173816176318 Long DBT UST US N 2 2023-09-30 Fixed 0.02875000 N N N N N N HUDSON PAC PPTYS LP 5493007NTUGLGZ8T3526 44409MAB2 27154000.00000000 PA USD 31666388.72000000 0.109708557069 Long DBT CORP US N 2 2029-04-01 Fixed 0.04650000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A55Q8 20678.68000000 PA USD 22848.65000000 0.000079159402 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.04500000 N N N N N N RUSSIAN FEDN 5493004EHVGF71PDBU58 N/A 6400000.00000000 PA USD 8280000.00000000 0.028686152392 Long DBT NUSS RU N 2 2047-06-23 Fixed 0.05250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204J2Z8 288.58480000 PA USD 309.77000000 0.000001073201 Long ABS-MBS USGA US N 2 2024-03-15 Fixed 0.07000000 N N N N N N CEDAR RLTY TR INC 54930056URX93R2RSN82 150602407 1766.00000000 NS USD 43478.92000000 0.000150633203 Long EP CORP US N 1 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200WXH9 216.20200000 PA USD 252.30000000 0.000000874096 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208HLF1 604.20370000 PA USD 684.35000000 0.000002370938 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.08000000 N N N N N N KINDER MORGAN ENERGY PARTNERS LP 549300PDHUGWPWGOT525 494550BU9 27364000.00000000 PA USD 32708373.63000000 0.113318525416 Long DBT CORP US N 2 2044-03-01 Fixed 0.05500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BQ54 1206010.85700000 PA USD 1203132.47000000 0.004168265867 Long ABS-CBDO USGA US N 2 2063-03-20 Variable 0.02094380 N N N N N N TIME WARNER CABLE INC B1WXCWLJVJXMWJX6O298 88732JAN8 24672000.00000000 PA USD 33494496.99000000 0.116042058569 Long DBT CORP US N 2 2038-07-01 Fixed 0.07300000 N N N N N N SOTHEBYS 549300P5BAAMQQ7VL735 08883CAB4 3740398.22600000 PA USD 3743914.20000000 0.012970832522 Long LON CORP US N 2 2027-01-03 Variable 0.07158500 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31398NGJ7 19566.15350000 PA USD 120.91000000 0.000000418894 Long ABS-CBDO USGSE US N 2 2025-08-25 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291AFA2 40631.93700000 PA USD 44973.77000000 0.000155812128 Long ABS-MBS USGA US N 2 2033-11-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176YEQ6 57717.78130000 PA USD 62963.48000000 0.000218137679 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MFY28 4255057.66000000 PA USD 4458531.11000000 0.015446630781 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SUU9 20265832.75130000 PA USD 21151814.43000000 0.073280697114 Long ABS-MBS USGA US N 2 2047-01-20 Fixed 0.03000000 N N N N N N INVITATION HOMES 2018-SFR2 TR N/A 46185HAL6 592481.40000000 PA USD 592480.04000000 0.002052653709 Long ABS-CBDO CORP US N 2 2037-06-17 Variable 0.03908500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31391YW60 249.85950000 PA USD 294.22000000 0.000001019328 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176WZW4 21704.00790000 PA USD 23077.21000000 0.000079951251 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WEQ28 234392.04690000 PA USD 247436.85000000 0.000857247727 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373UQH3 10168.71740000 PA USD 11212.91000000 0.000038847251 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ANJ3 34792.21620000 PA USD 37256.98000000 0.000129077222 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419D6N6 225974.35600000 PA USD 245694.17000000 0.000851210193 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178VBM2 26168.11990000 PA USD 28341.98000000 0.000098191105 Long ABS-MBS USGA US N 2 2042-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402UKW1 144764.53170000 PA USD 158590.08000000 0.000549437101 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBLF3 7755842.84500000 PA USD 8268822.05000000 0.028647426259 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.03500000 N N N N N N ARGENTINA REPUBLIC OF 549300KPBYGYF7HCHO27 040114GL8 2053985.67000000 PA USD 1101449.82000000 0.003815985191 Long DBT NUSS AR N 2 2033-12-31 Fixed 0.08280000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EQ28 85309.71210000 PA USD 92714.34000000 0.000321209865 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407KN96 1043.90480000 PA USD 1198.62000000 0.000004152632 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06000000 N N N N N N MONGOLIA GOVERNMENT OF N/A 60937LAA3 322000.00000000 PA USD 357520.63000000 0.001238634212 Long DBT NUSS MN N 2 2024-03-09 Fixed 0.08750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210APZ4 247.68930000 PA USD 276.06000000 0.000000956412 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N EPV MERGER SUB INC N/A N/A 226000.00000000 PA USD 221292.42000000 0.000766670058 Long LON CORP US N 2 2026-03-08 Variable 0.08853380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5YQ0 5003563.00000000 PA USD 5181697.85000000 0.017952050021 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2014-DSTY N/A 46642MAN8 1519000.00000000 PA USD 610086.15000000 0.002113650274 Long ABS-MBS CORP US N 3 2027-06-10 Variable 0.03804600 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CS2 7032000.00000000 PA USD 7095248.34000000 0.024581567046 Long DBT CORP US N 2 2029-08-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JM5V7 141421.94100000 PA USD 150556.72000000 0.000521605436 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03500000 N N N N N N PROJECT SILVER 2019 N/A 827304AA4 18163673.06000000 PA USD 18862157.11000000 0.065348153780 Long ABS-CBDO CORP US N 2 2044-07-15 Fixed 0.03967000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176LJQ9 20514.92010000 PA USD 22193.51000000 0.000076889663 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N LOWER CADENCE HOLDINGS LLC 549300GMUP7Q51T05S83 54805BAB5 2161250.00000000 PA USD 2030235.03000000 0.007033771915 Long LON CORP US N 2 2026-05-22 Variable 0.05603380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209GSB4 1521.20130000 PA USD 1770.43000000 0.000006133674 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N CSMC SER 2015-1R N/A 12649MBC6 2866241.34360000 PA USD 2779904.71000000 0.009631010887 Long ABS-CBDO CORP US N 2 2037-05-27 Variable 0.02007250 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128283J7 43572300.00000000 PA USD 45985796.71000000 0.159318305833 Long DBT UST US N 2 2024-11-30 Fixed 0.02125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CMG6 67714.95800000 PA USD 72243.92000000 0.000250289866 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04000000 N N N N N N BRISTOL PARK CLO LTD 2016 549300XRS6MFERKEPO61 11014PAJ4 24711000.00000000 PA USD 24711000.00000000 0.085611535237 Long ABS-CBDO CORP US N 2 2029-04-15 Variable 0.00000000 N N N N N N VOLKSWAGEN INTL FINANCE NV 5299004PWNHKYTR23649 N/A 4600000.00000000 PA 5192428.81000000 0.017989227551 Long EP CORP NL N 2 N N N AVOLON TLB BORROWER 1 US LLC 635400O84AGITYFZQB55 05400KAF7 2500000.00000000 PA USD 2450000.00000000 0.008488052338 Long LON CORP US N 2 2027-02-10 Variable 0.03147000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178B3E3 11249.97920000 PA USD 11958.25000000 0.000041429490 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JF86 250180.00100000 PA USD 272012.13000000 0.000942389059 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PJN78 1471.87520000 PA USD 1543.60000000 0.000005347819 Long ABS-MBS USGSE US N 2 2023-01-01 Fixed 0.06000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -34500000.00000000 NC USD -585013.74000000 -0.00202678663 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-12-05 0.00000000 USD 0.00000000 USD -34500000.00000000 USD 1.00000000 1.77500000 USD 2024-12-03 XXXX 403411.26000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224JJF0 67.72070000 PA USD 70.56000000 0.000000244455 Long ABS-MBS USGA US N 2 2022-08-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209BUF3 715.77000000 PA USD 814.76000000 0.000002822745 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JAPS1 5980099.16900000 PA USD 6201761.71000000 0.021486072646 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.03000000 N N N N N N PERMANENT MASTER ISSUER PLC 213800MVYG7MLQM2LF25 71419GAY6 9268000.00000000 PA USD 9281447.87000000 0.032155679712 Long ABS-CBDO CORP GB N 2 2058-07-15 Variable 0.02381250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205XW26 415.60970000 PA USD 455.00000000 0.000001576352 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224ERV7 67.60680000 PA USD 71.62000000 0.000000248128 Long ABS-MBS USGA US N 2 2022-10-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210QZT2 189.59970000 PA USD 210.08000000 0.000000727824 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HJJH5 1257816.58700000 PA USD 1409792.28000000 0.004884241085 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209C6V3 429.64670000 PA USD 486.15000000 0.000001684272 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RQU1 405.30840000 PA USD 464.18000000 0.000001608156 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N WASH MULTIFAMILY ACQUISITION INC 549300AS7PRY5PHG6L12 93710HAE8 194869.50000000 PA USD 187318.31000000 0.000648966375 Long LON CORP US N 2 2023-05-14 Variable 0.08603380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JPAU9 1796116.81000000 PA USD 1860447.79000000 0.006445542128 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RQ36 53007.71400000 PA USD 56628.81000000 0.000196191144 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 0.04000000 N N N N N N ROYAL BANK OF SCOTLAND GRP PLC (UNGTD) 2138005O9XJIJN4JPN90 780099CJ4 3392000.00000000 PA USD 3423816.96000000 0.011861852062 Long EP CORP GB N 2 N N N SCRS ACQUISITION CORP N/A 78410QAB8 2497148.60000000 PA USD 2010204.62000000 0.006964376336 Long LON CORP US N 2 2024-11-01 Variable 0.06103380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417AX38 13310.32750000 PA USD 14221.60000000 0.000049270891 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297K7B1 5054.27220000 PA USD 5761.08000000 0.000019959325 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209VF41 192.18250000 PA USD 217.66000000 0.000000754085 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404HLC1 2740.07360000 PA USD 3129.45000000 0.000010842014 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GEKV1 70464.05580000 PA USD 77924.01000000 0.000269968602 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N COMM 2014-UBS6 MTG TR N/A 12592PBG7 85706255.77950000 PA USD 2940770.19000000 0.010188331137 Long ABS-MBS CORP US N 2 2047-12-10 Variable 0.00892030 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291SYT1 2503.41110000 PA USD 2902.53000000 0.000010055847 Long ABS-MBS USGA US N 2 2035-03-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201GZR9 926.03250000 PA USD 1083.38000000 0.000003753382 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 0.07000000 N N N N N N VALEANT PHARMACEUTICALS INTL INC KOO0397YRO83WY5MGD97 N/A 5509614.68200000 PA USD 5471047.38000000 0.018954504696 Long LON CORP US N 2 2025-06-01 Variable 0.04658500 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RBX6 21968.26600000 PA USD 23318.44000000 0.000080786995 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283G7J0 161.88000000 PA USD 183.30000000 0.000000635044 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417AJS9 1981851.39760000 PA USD 2158994.82000000 0.007479861644 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N EAGLEVIEW TECHNOLOGY CORP 549300HLIL8HO4PPLG50 27004GAJ2 1217700.00000000 PA USD 1169759.15000000 0.004052643627 Long LON CORP US N 2 2025-08-14 Variable 0.05113250 N N N N N N CSAIL 2017-CX9 COML MTG TR N/A 12595FAP7 518000.00000000 PA USD 509228.97000000 0.001764229448 Long ABS-MBS CORP US N 2 2050-09-15 Variable 0.04152783 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761J3R8 69344000.00000000 PA USD 73902702.30000000 0.256036736760 Long DBT CORP US N 2 2026-07-27 Fixed 0.03125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W1SW8 24592.35260000 PA USD 25999.44000000 0.000090075349 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296YFZ0 13126.70660000 PA USD 14646.47000000 0.000050742858 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.05000000 N N N N N N BCP RENAISSANCE PARENT LLC 549300GVXMQFQZDSJR97 05549PAB7 2143263.70000000 PA USD 1778908.87000000 0.006163049630 Long LON CORP US N 2 2024-10-31 Variable 0.05444630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390HPV1 4415.02030000 PA USD 5218.86000000 0.000018080798 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4HT0 24020.19770000 PA USD 26180.76000000 0.000090703535 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AAK6 12.63980000 PA USD 12.98000000 0.000000044969 Long ABS-MBS USGA US N 2 2023-03-15 Fixed 0.09500000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2011-C3 N/A 46635TBD3 1156000.00000000 PA USD 1153729.38000000 0.003997108310 Long ABS-MBS CORP US N 2 2046-02-15 Variable 0.05664007 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384SE21 195.04660000 PA USD 229.27000000 0.000000794308 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.07500000 N N N N N N DELTA MERLIN DUNIA TEKSTIL PT 2549006VVY3FDMC5ZG55 69374VAA2 425000.00000000 PA USD 52858.40000000 0.000183128516 Long DBT CORP ID N 2 2024-03-12 Fixed 0.08625000 Y Y N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210CMH3 649.17640000 PA USD 741.33000000 0.000002568346 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410QWY3 384.37610000 PA USD 393.79000000 0.000001364289 Long ABS-MBS USGSE US N 2 2021-08-01 Fixed 0.06000000 N N N N N N INVITATION HOMES OPERATING PARTNERSHIP LP 549300147YMUQB3GW319 46187CAC5 1367000.00000000 PA USD 1353330.00000000 0.004688626886 Long LON CORP US N 3 2022-02-06 Variable 0.03312630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A1SQ5 74981.17590000 PA USD 81524.46000000 0.000282442401 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411Y3V3 26498.52620000 PA USD 27654.03000000 0.000095807695 Long ABS-MBS USGSE US N 2 2037-04-01 Variable 0.04509000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203FVJ1 188.88510000 PA USD 199.62000000 0.000000691585 Long ABS-MBS USGA US N 2 2023-06-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208YPD5 1376.85050000 PA USD 1563.32000000 0.000005416139 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946RF5 11692.07770000 PA USD 13028.93000000 0.000045138873 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404VZY7 24951.48760000 PA USD 27273.59000000 0.000094489656 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BE5 2086000.00000000 PA USD 2093763.51000000 0.007253867043 Long DBT CORP US N 2 2020-06-12 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402YRS5 144348.96700000 PA USD 157953.97000000 0.000547233291 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVDY5 12808.58350000 PA USD 14120.66000000 0.000048921184 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402N3R7 69601.29440000 PA USD 76018.69000000 0.000263367599 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N WASH MULTIFAMILY ACQUISITION INC 549300AS7PRY5PHG6L12 93710HAF5 34130.50000000 PA USD 32807.94000000 0.000113663474 Long LON CORP US N 2 2023-05-15 Variable 0.08603380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3129414T1 5655.55100000 PA USD 6171.01000000 0.000021379533 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XGSF1 227144.86500000 PA USD 245744.12000000 0.000851383245 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208DYN9 1341.30670000 PA USD 1527.05000000 0.000005290481 Long ABS-MBS USGA US N 2 2027-05-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386GRV7 317.44600000 PA USD 362.94000000 0.000001257409 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FJ37 63727.90190000 PA USD 69511.36000000 0.000240822882 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.04000000 N N N N N N NBC UNIVERSAL INC VTBDOQJ6KOGQ6K786R46 63946BAJ9 6238000.00000000 PA USD 7688300.94000000 0.026636204396 Long DBT CORP US N 2 2043-01-15 Fixed 0.04450000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QT2C9 183904.10750000 PA USD 196932.32000000 0.000682274220 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.03500000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CW8 48287000.00000000 PA USD 52920651.91000000 0.183344189056 Long DBT CORP US N 2 2025-03-25 Fixed 0.04100000 N N N N N N EUROFINS SCIENTIFIC SE 529900JEHFM47DYY3S57 N/A 3780000.00000000 PA 4031051.33000000 0.013965622313 Long EP CORP LU N 2 N N N ASURION LLC 549300KNQVXGIOXWK278 04649VAT7 8056575.97600000 PA USD 7972626.45000000 0.027621253298 Long LON CORP US N 2 2022-08-04 Variable 0.04603380 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAD4 4831000.00000000 PA USD 4867167.33000000 0.016862355524 Long DBT CORP US N 2 2023-01-15 Fixed 0.02250000 N N N N N N TEMPO ACQUISITION LLC 549300VV0B2RPMHQGA61 88023HAC4 3708521.89000000 PA USD 3655230.43000000 0.012663586611 Long LON CORP US N 2 2024-05-01 Variable 0.04395250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178TSJ6 69387.56510000 PA USD 73712.64000000 0.000255378263 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213XGN8 684.87770000 PA USD 795.32000000 0.000002755395 Long ABS-MBS USGA US N 2 2031-11-15 Fixed 0.07000000 N N N N N N TRANSPLACE HOLDING INC 549300GKMCDOESYBQQ95 89386EAB2 1171061.94000000 PA USD 1163742.80000000 0.004031799916 Long LON CORP US N 2 2024-10-05 Variable 0.05353380 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAE0 6299000.00000000 PA USD 6801751.22000000 0.023564742998 Long DBT CORP US N 2 2023-07-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFLZ8 961012.17760000 PA USD 1048000.60000000 0.003630809772 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204UXV8 79.94150000 PA USD 85.96000000 0.000000297809 Long ABS-MBS USGA US N 2 2024-08-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XY2J5 5067989.44000000 PA USD 5384193.97000000 0.018653600088 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225A5Y2 2902.85910000 PA USD 3083.18000000 0.000010681711 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RXE4 447284.90300000 PA USD 476302.56000000 0.001650155533 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 0.04000000 N N N N N N CORECIVIC INC 529900JFA3K6PTLT8B15 21871QAF1 2490000.00000000 PA USD 2458875.00000000 0.008518799874 Long LON CORP US N 2 2024-12-18 Variable 0.06110000 N N N N N N ARISTOCRAT TECHNOLOGIES INC 549300I5142EOXMKHL78 04044PAF1 2149688.50000000 PA USD 2101320.51000000 0.007280048354 Long LON CORP US N 2 2024-10-19 Variable 0.03576630 N N N N N N SEQUOIA MTG TR N/A 81744FCU9 5791.69300000 PA USD 5679.27000000 0.000019675894 Long ABS-CBDO CORP US N 2 2034-07-20 Variable 0.02784880 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AJK4 716942.55860000 PA USD 831516.29000000 0.002880797465 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 0.06000000 N N N N N N INTELSAT JACKSON HLDGS S A 8XJ8KF85PBKK1TLMFN29 45824TAY1 6020000.00000000 PA USD 5308887.50000000 0.018392699982 Long DBT CORP LU N 2 2025-07-15 Fixed 0.09750000 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38141GVR2 5020000.00000000 PA USD 5483315.13000000 0.018997006453 Long DBT CORP US N 2 2025-10-21 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223REG6 374.32070000 PA USD 394.24000000 0.000001365848 Long ABS-MBS USGA US N 2 2022-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209BU22 517.31900000 PA USD 583.26000000 0.000002020710 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N BX TRUST 2019 N/A 05608BAJ9 7490000.00000000 PA USD 7489987.27000000 0.025949144473 Long ABS-MBS CORP US N 2 2034-04-15 Variable 0.03258500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178UUV3 135413.13300000 PA USD 142339.20000000 0.000493135746 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 0.03500000 N N N N N N UMH PPTYS INC 529900OM5K3PJ11F0Q09 903002400 14184.00000000 NS USD 351054.00000000 0.001216230500 Long EP CORP US N 1 N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128NF7M3 19800.75210000 PA USD 20266.36000000 0.000070213030 Long ABS-MBS USGSE US N 2 2037-08-01 Variable 0.03148000 N N N N N N PROGRESS RESIDENTIAL 2019-SFR1 TR N/A 74333BAL2 600000.00000000 PA USD 625095.48000000 0.002165650265 Long ABS-CBDO CORP US N 2 2035-08-17 Fixed 0.05061000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395VV55 59220.06380000 PA USD 63060.53000000 0.000218473909 Long ABS-CBDO USGSE US N 2 2025-07-15 Fixed 0.05500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TNM84 75645.45680000 PA USD 83303.84000000 0.000288607083 Long ABS-CBDO USGSE US N 2 2030-03-15 Fixed 0.06000000 N N N N N N THUNDERBOLT AIRCRAFT LEASE LIM N/A 886065AA9 20240291.74000000 PA USD 21001719.37000000 0.072760691104 Long ABS-CBDO CORP US N 2 2038-09-15 Variable 0.04147000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407BU49 12022.57290000 PA USD 14180.49000000 0.000049128465 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203NBX5 250.04540000 PA USD 285.81000000 0.000000990191 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206JB78 300.76560000 PA USD 341.71000000 0.000001183858 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 0.08000000 N N N N N N NATIONAL STORAGE AFFILIATES TRUST N/A 637870205 12600.00000000 NS USD 337554.00000000 0.001169459599 Long EP CORP US N 1 N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCJC1 44588.71750000 PA USD 8728.94000000 0.000030241510 Long ABS-CBDO USGSE US N 2 2034-03-25 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200NXQ9 853.31410000 PA USD 941.59000000 0.000003262149 Long ABS-MBS USGA US N 2 2034-12-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJB82 12792.72220000 PA USD 14360.01000000 0.000049750414 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ATGN1 4279.79680000 PA USD 4767.27000000 0.000016516260 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FXT4 300.75990000 PA USD 341.14000000 0.000001181883 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EBDP7 126039.79790000 PA USD 137069.26000000 0.000474877980 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N DIVERSIFIED HEALTHCARE TR N/A 81721MAE9 159000.00000000 PA USD 159545.20000000 0.000552746125 Long DBT CORP US N 2 2020-04-15 Fixed 0.06750000 N N N N N N PROGRESS RESIDENTIAL 2019-SFR4 TR N/A 74331AAL6 1943000.00000000 PA USD 1970627.52000000 0.006827261032 Long ABS-CBDO CORP US N 2 2036-10-17 Fixed 0.03684000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AFZS4 291246.69810000 PA USD 314792.74000000 0.001090602960 Long ABS-CBDO USGSE US N 2 2034-10-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404R4V6 32160.50950000 PA USD 35265.28000000 0.000122176956 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N TELECOM ITALIA CAP 549300777DJZOR5C4L39 87927VAM0 1570000.00000000 PA USD 1766250.00000000 0.006119192833 Long DBT CORP LU N 2 2034-09-30 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GN89 1162.14020000 PA USD 1337.88000000 0.000004635100 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374PBR7 115.60620000 PA USD 129.13000000 0.000000447372 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389YAC5 241.93900000 PA USD 286.06000000 0.000000991058 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J4MR7 7647123.71000000 PA USD 8073961.68000000 0.027972330333 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -34500000.00000000 NC USD -1463690.10000000 -0.00507097068 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-12-05 0.00000000 USD 0.00000000 USD -34500000.00000000 USD 1.00000000 1.77500000 USD 2024-12-03 XXXX -475265.10000000 N N N FORD MTR CR CO LLC UDSQCVRUX5BONN0VY111 345397A29 2770000.00000000 PA USD 2777290.89000000 0.009621955278 Long DBT CORP US N 2 2023-01-09 Fixed 0.03087000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407CQQ3 426.16120000 PA USD 504.04000000 0.000001746252 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JPBC5 258957.55340000 PA USD 280617.41000000 0.000972202148 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211KQN7 557.08060000 PA USD 641.92000000 0.000002223939 Long ABS-MBS USGA US N 2 2030-04-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208M6U4 61.81680000 PA USD 70.16000000 0.000000243070 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213NP42 563.56970000 PA USD 655.55000000 0.000002271160 Long ABS-MBS USGA US N 2 2031-11-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FK27 35776.73300000 PA USD 38950.83000000 0.000134945585 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HJLU3 208054.42200000 PA USD 223985.21000000 0.000775999259 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -30000000.00000000 NC USD -953855.70000000 -0.00330464371 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2030-02-26 0.00000000 USD 0.00000000 USD -30000000.00000000 USD 1.00000000 1.39500000 USD 2025-02-24 XXXX -71855.70000000 N N N SRI LANKA GOVT DEMOCRATIC SOCIALIST REP 254900HXCCIOHM74FA02 85227SAJ5 535000.00000000 PA USD 542356.25000000 0.001878999279 Long DBT NUSS LK N 2 2021-07-27 Fixed 0.06250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373USA6 431.79440000 PA USD 477.79000000 0.000001655308 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M5BG6 33313.68220000 PA USD 36058.48000000 0.000124925006 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RUT8 1040304.62350000 PA USD 1128026.13000000 0.003908059114 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201YN93 1279.27100000 PA USD 1440.48000000 0.000004990559 Long ABS-MBS USGA US N 2 2034-03-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FZD2 1824.49340000 PA USD 2121.09000000 0.000007348539 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FKN5 1068918.94290000 PA USD 1171409.46000000 0.004058361145 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193YPG5 307221.95270000 PA USD 328984.08000000 0.001139769016 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N MESSER INDUSTRIES USA INC 529900HNC1EZT3TC1260 N/A 3161112.50000000 PA USD 3101841.64000000 0.010746364973 Long LON CORP US N 2 2026-03-01 Variable 0.04444630 N N N N N N BENCHMARK 2019-B12 MTG TR N/A 08162FAN3 1091000.00000000 PA USD 1004662.73000000 0.003480665238 Long ABS-MBS CORP US N 2 2052-08-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177WTW0 11338.77820000 PA USD 12287.81000000 0.000042571254 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AHQ94 1434830.04780000 PA USD 76155.33000000 0.000263840990 Long ABS-CBDO USGSE US N 2 2032-04-25 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3129387E7 498756.24970000 PA USD 560926.57000000 0.001943336360 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 0.05000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404122BA0 1878177.23000000 PA USD 1873087.37000000 0.006489332094 Long LON CORP US N 2 2025-03-13 Variable 0.03353380 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FX76 4510.07400000 PA USD 4801.36000000 0.000016634365 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 0.03500000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2014-CPT N/A 61763QAU5 915000.00000000 PA USD 935947.64000000 0.003242601042 Long ABS-MBS CORP US N 2 2029-07-13 Variable 0.03445500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176LGA7 32551.41960000 PA USD 35479.35000000 0.000122918603 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N QWEST CORPORATION 549300R2L4N683OO1509 74913GAX3 1650000.00000000 PA USD 1744875.00000000 0.006045138907 Long DBT CORP US N 2 2021-12-01 Fixed 0.06750000 N N N N N N SPRINT COMMUNICATIONS INC 549300JKU50UT08ZWD77 852061AS9 16756000.00000000 PA USD 17972485.60000000 0.062265876906 Long DBT CORP US N 2 2022-11-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296JR31 96648.13080000 PA USD 106790.13000000 0.000369975597 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.04500000 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAV8 1275000.00000000 PA USD 1343595.00000000 0.004654899869 Long DBT CORP US N 2 2030-06-15 Fixed 0.04875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PD7J3 685.38280000 PA USD 691.70000000 0.000002396402 Long ABS-MBS USGSE US N 2 2020-11-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407XKE0 8183.69730000 PA USD 9662.74000000 0.000033476670 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7SE4 51558.95880000 PA USD 54436.81000000 0.000188596935 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.03500000 N N N N N N CALI MTG TR 2019-101C N/A 129890AQ2 1743000.00000000 PA USD 1855465.33000000 0.006428280339 Long ABS-MBS CORP US N 2 2039-03-10 Variable 0.04324435 N N N N N N MSCCG TR 2018-SELF N/A 55358PAN6 679000.00000000 PA USD 678587.71000000 0.002350974693 Long ABS-MBS CORP US N 2 2037-10-15 Variable 0.03808500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVPL0 17734.22340000 PA USD 19550.87000000 0.000067734207 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208CNS2 203.10940000 PA USD 231.24000000 0.000000801133 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ERRK8 3668052.78000000 PA USD 3904279.78000000 0.013526420863 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N BX COML MTG TR 2019 N/A 05608FAN1 340000.00000000 PA USD 340213.08000000 0.001178672011 Long ABS-MBS CORP US N 2 2032-11-25 Variable 0.03658500 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128NEBW9 5259.57490000 PA USD 5468.69000000 0.000018946337 Long ABS-MBS USGSE US N 2 2035-12-01 Variable 0.03580000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AFH42 67057.28620000 PA USD 74883.82000000 0.000259435829 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296Q6K0 1313199.98570000 PA USD 1451003.78000000 0.005027018786 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 N/A 4922000.00000000 PA USD 5195190.69000000 0.017998796115 Long EP CORP GB N 2 N N N MORGAN STANLEY CAP I TR 2011-C3 N/A 61760RAQ5 332000.00000000 PA USD 325607.71000000 0.001128071544 Long ABS-MBS CORP US N 2 2049-07-15 Variable 0.05244467 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404PNJ6 40146.30030000 PA USD 44025.01000000 0.000152525138 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4XF8 43520270.82600000 PA USD 46208343.87000000 0.160089322952 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 0.03500000 N N N N N N CDK GLOBAL INC 5493000L10CYRTHIJ385 12508EAJ0 730000.00000000 PA USD 778362.50000000 0.002696645566 Long DBT CORP US N 2 2029-05-15 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374R3J0 2681.85640000 PA USD 2986.69000000 0.000010347420 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P75V1 151803.78480000 PA USD 160371.86000000 0.000555610098 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.03500000 N N N N N N SYBIL SOFTWARE LLC N/A N/A 651861.42000000 PA USD 648439.15000000 0.002246524670 Long LON CORP US N 2 2023-09-30 Variable 0.04194630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405XXY4 827.36630000 PA USD 864.96000000 0.000002996663 Long ABS-MBS USGSE US N 2 2034-12-01 Variable 0.03740000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LXCY3 51519.51640000 PA USD 55256.03000000 0.000191435132 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180DRQ2 22287.45710000 PA USD 23529.03000000 0.000081516586 Long ABS-MBS USGA US N 2 2043-03-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A2Y37 87846.20600000 PA USD 95470.99000000 0.000330760310 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N VIRGIN MEDIA SECURED FINANCE PLC 213800X3RLP4NOTPY579 92769XAM7 2762000.00000000 PA USD 2842284.44000000 0.009847126157 Long DBT CORP GB N 2 2026-08-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BHE1 314.43040000 PA USD 355.78000000 0.000001232603 Long ABS-MBS USGA US N 2 2028-11-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QVXL0 771739.83280000 PA USD 833396.06000000 0.002887309949 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312941P35 191522.86450000 PA USD 212158.28000000 0.000735024728 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.04500000 N N N N N N BX 2020-BXLP N/A 05607QBA5 1680000.00000000 PA USD 1680002.86000000 0.005820388654 Long ABS-MBS CORP US N 2 2029-12-15 Variable 0.04158500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SYE3 144236.08200000 PA USD 154453.07000000 0.000535104384 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KCX1 152537.71800000 PA USD 165849.03000000 0.000574585815 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210RPW4 457.92940000 PA USD 526.51000000 0.000001824099 Long ABS-MBS USGA US N 2 2029-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295R5P9 130579.38920000 PA USD 142806.49000000 0.000494754678 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293NNR7 132.62990000 PA USD 145.08000000 0.000000502631 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31298C2P3 323.69060000 PA USD 381.90000000 0.000001323096 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QJT9 1210970.76600000 PA USD 1300507.04000000 0.004505621151 Long ABS-MBS USGA US N 2 2044-07-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419LPA5 62077.20430000 PA USD 67484.72000000 0.000233801565 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N MPT OPER PARTNERSHIP LP / MPT FIN CORP N/A 55342UAF1 1433000.00000000 PA USD 1477781.25000000 0.005119789630 Long DBT CORP US N 2 2024-03-01 Fixed 0.06375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31388UFT2 1364.72390000 PA USD 1593.56000000 0.000005520906 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EQJ1 217482.69700000 PA USD 236461.48000000 0.000819223436 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N TRAVIS PERKINS PLC 2138001I27OUBAF22K83 N/A 207000.00000000 PA 272793.93000000 0.000945097614 Long DBT CORP GB N 2 2021-09-15 Fixed 0.04375000 N N N N N N ZOETIS INC 549300HD9Q1LOC9KLJ48 98978VAB9 3117000.00000000 PA USD 3271360.70000000 0.011333665648 Long DBT CORP US N 2 2023-02-01 Fixed 0.03250000 N N N N N N REYNOLDS GRP ISSUER INC/LLC/SA N/A 761735AT6 2774000.00000000 PA USD 2801740.00000000 0.009706659493 Long DBT CORP US N 2 2023-07-15 Fixed 0.05125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208GH27 333.94190000 PA USD 374.40000000 0.000001297112 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203LBU5 732.57090000 PA USD 783.14000000 0.000002713197 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211KPV0 929.32470000 PA USD 1073.79000000 0.000003720157 Long ABS-MBS USGA US N 2 2030-02-15 Fixed 0.07000000 N N N N N N EL SALVADOR REPUBLIC OF 529900AKDMUSFSDOM949 283875AM4 450000.00000000 PA USD 490921.88000000 0.001700804331 Long DBT NUSS SV N 2 2034-09-21 Fixed 0.07625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A7CB9 4732.93430000 PA USD 5285.33000000 0.000018311084 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HRGD6 183917.77800000 PA USD 194989.81000000 0.000675544372 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N TIME WARNER CABLE INC B1WXCWLJVJXMWJX6O298 88732JBB3 8265000.00000000 PA USD 9666762.84000000 0.033490607725 Long DBT CORP US N 2 2041-09-01 Fixed 0.05500000 N N N N N N SS and C TECHNOLOGIES INC 549300KY09TR3J12JU49 N/A 3785844.83600000 PA USD 3732199.41000000 0.012930246501 Long LON CORP US N 2 2025-04-16 Variable 0.03353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31380DS56 825.56720000 PA USD 946.05000000 0.000003277600 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.07000000 N N N N N N SILVERSTONE MASTER ISSUER PLC 549300P6OXWKM20QS303 82846GAV2 19264000.00000000 PA USD 19280278.08000000 0.066796738546 Long ABS-CBDO CORP GB N 2 2070-01-21 Variable 0.02389130 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AYM29 18199.96830000 PA USD 20064.33000000 0.000069513095 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N COMMSCOPE FIN LLC N/A 20338QAD5 600000.00000000 PA USD 615858.00000000 0.002133646913 Long DBT CORP US N 2 2026-03-01 Fixed 0.06000000 N N N N N N INFOR US INC CIOT8TLNSHRE7MIBDR09 45672LAE5 1366810.13000000 PA USD 1356217.35000000 0.004698630142 Long LON CORP US N 2 2022-02-01 Variable 0.04694630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E76B1 616026.66370000 PA USD 663966.04000000 0.002300317754 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04000000 N N N N N N SABRA HEALTH CARE LTD PARTNERSHIP / SABRA CAP CORP N/A 78572XAG6 342000.00000000 PA USD 362759.40000000 0.001256783989 Long DBT CORP US N 2 2029-10-15 Fixed 0.03900000 N N N N N N HUNTINGTON BANCSHARES INC 549300XTVCVV9I7B5T19 446150AG9 1816000.00000000 PA USD 1889110.98000000 0.006544846069 Long DBT CORP US N 2 2020-12-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137ABFK2 574000.00000000 PA USD 20660.84000000 0.000071579710 Long ABS-MBS USGSE US N 2 2041-06-25 Variable 0.03614653 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FEM0 261.93240000 PA USD 288.47000000 0.000000999407 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4K33 23484.60000000 PA USD 25619.01000000 0.000088757346 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201QM83 2470.40680000 PA USD 2860.55000000 0.000009910407 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GD49 562128.49190000 PA USD 619711.47000000 0.002146997302 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N SABRE INDUSTRIES INC DEL 5493001M3HKIVRGCE314 78572GAN8 1736875.00000000 PA USD 1710821.88000000 0.005927161493 Long LON CORP US N 2 2026-04-15 Variable 0.05878880 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128286F2 546304000.00000000 PA USD 593913541.37000000 2.057620091247 Long DBT UST US N 2 2026-02-28 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396YMM1 566932.29470000 PA USD 114636.20000000 0.000397158394 Long ABS-CBDO USGSE US N 2 2038-03-25 Variable 0.04723250 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 5100000.00000000 PA 5671143.70000000 0.019647740629 Long DBT CORP DE N 2 2027-01-20 Fixed 0.01625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224CAQ0 20.47110000 PA USD 20.50000000 0.000000071022 Long ABS-MBS USGA US N 2 2024-06-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FPU5 929.28300000 PA USD 1084.98000000 0.000003758925 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q9YC1 3136780.25500000 PA USD 3515781.73000000 0.012180465034 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 0.05500000 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 02005NBA7 2128000.00000000 PA USD 2319328.48000000 0.008035339399 Long DBT CORP US N 2 2025-03-30 Fixed 0.04625000 N N N N N N GS MTG SECS TR 2019-GC39 N/A 36260JAL1 1176000.00000000 PA USD 1107494.12000000 0.003836925736 Long ABS-MBS CORP US N 2 2052-05-10 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207UXF0 74.39510000 PA USD 78.35000000 0.000000271444 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210UYW7 437.75360000 PA USD 495.75000000 0.000001717531 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M73U7 566350.51080000 PA USD 607425.76000000 0.002104433323 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208DUH6 1350.85250000 PA USD 1532.49000000 0.000005309328 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N OLIN CORP 549300GKK294V7W57P06 680665AL0 4245000.00000000 PA USD 4275988.50000000 0.014814209871 Long DBT CORP US N 2 2029-08-01 Fixed 0.05625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419GGK4 112873.10900000 PA USD 122723.06000000 0.000425175410 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615ST4 252.75540000 PA USD 270.49000000 0.000000937115 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9U82 41101259.09000000 PA USD 44715428.44000000 0.154917100786 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.04500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GGL7 20736000.00000000 PA USD 22700757.57000000 0.078647027907 Long DBT CORP US N 2 2028-04-24 Variable 0.03705000 N N N N N N FREMF 2010-K7 MTG TR N/A 30263DAJ9 637070.00000000 PA USD 636231.42000000 0.002204230853 Long ABS-MBS USGSE US N 2 2020-04-25 Variable 0.05557920 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410VYP9 475.33450000 PA USD 485.72000000 0.000001682782 Long ABS-MBS USGSE US N 2 2022-01-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206KHA2 298.69500000 PA USD 329.04000000 0.000001139962 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07000000 N N N N N N SILGAN HLDGS INC KAF673KJXD92C8KSLU49 827048AU3 1876000.00000000 PA USD 1897892.92000000 0.006575271198 Long DBT CORP US N 2 2025-03-15 Fixed 0.04750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208NNV1 898.03920000 PA USD 1022.40000000 0.000003542116 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31381DHY4 4919.87450000 PA USD 5449.89000000 0.000018881204 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 0.07000000 N N N N N N SUMMIT MIDSTREAM HOLDINGS LLC / SUMMIT MIDSTREAM FINANCE CORP N/A 86614WAC0 1285000.00000000 PA USD 1100281.25000000 0.003811936668 Long DBT CORP US N 2 2022-08-15 Fixed 0.05500000 N N N N N N DEVELOPMENT BANK OF THE REPUBLIC OF BELARUS JSC 253400D4JRB0M70A0687 25161EAA9 500000.00000000 PA USD 528125.00000000 0.001829694955 Long DBT CORP BY N 2 2024-05-02 Fixed 0.06750000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-AGLN N/A 61691TAA0 13540000.00000000 PA USD 13506009.18000000 0.046791719510 Long ABS-MBS CORP US N 2 2034-03-15 Variable 0.02608500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C6E27 132885.65210000 PA USD 144215.54000000 0.000499636347 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 0.04000000 N N N N N N DBUBS 2011 LC3 N/A 23305YAM1 969000.00000000 PA USD 1000600.83000000 0.003466592740 Long ABS-MBS CORP US N 2 2044-08-10 Variable 0.05334423 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NVN5 144917.47500000 PA USD 154005.28000000 0.000533553011 Long ABS-MBS USGA US N 2 2043-12-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SWW3 42438474.05490000 PA USD 44293799.26000000 0.153456361787 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180FA36 102817.33070000 PA USD 107381.01000000 0.000372022707 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F8YE1 449519.90800000 PA USD 468496.98000000 0.001623113014 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416TL80 17775.16660000 PA USD 20036.70000000 0.000069417370 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BL48 655.56780000 PA USD 766.42000000 0.000002655270 Long ABS-MBS USGA US N 2 2031-01-15 Fixed 0.07500000 N N N N N N COMCAST CORP NEW 51M0QTTNCGUN7KFCFZ59 20030NBE0 7870000.00000000 PA USD 9895294.60000000 0.034282358558 Long DBT CORP US N 2 2042-07-15 Fixed 0.04650000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SAV5 28850000.00000000 PA USD 28070277.69000000 0.097249790278 Long DBT CORP US N 2 2046-09-16 Fixed 0.03875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241L6G6 7823.04290000 PA USD 8639.32000000 0.000029931020 Long ABS-MBS USGA US N 2 2033-12-15 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179VKL3 11000000.00000000 PA USD 11394960.50000000 0.039477967802 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205UNR7 424.59730000 PA USD 461.58000000 0.000001599149 Long ABS-MBS USGA US N 2 2024-06-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407WSA2 10581.15450000 PA USD 10984.28000000 0.000038055160 Long ABS-MBS USGSE US N 2 2034-12-01 Variable 0.03687000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L67D7 5176635.34590000 PA USD 5486741.17000000 0.019008876007 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C3FD9 11606.15910000 PA USD 12795.06000000 0.000044328628 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.04500000 N N N N N N INTELSAT JACKSON HLDGS S A 8XJ8KF85PBKK1TLMFN29 N/A 2230000.00000000 PA USD 2242733.30000000 0.007769974543 Long LON CORP LU N 2 2024-01-02 Variable 0.06432000 N N N N N N CITIZENS UTILITIES COMPANY(OLD N/A 177342AP7 6489000.00000000 PA USD 2984940.00000000 0.010341357937 Long DBT CORP US N 2 2046-10-01 Fixed 0.07050000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 362205BH8 228.50970000 PA USD 241.24000000 0.000000835778 Long ABS-MBS USGA US N 2 2022-08-15 Fixed 0.08000000 N N N N N N CBOM FIN PLC 2534000R9X3PNNE57C55 12504PAH3 345000.00000000 PA USD 340687.50000000 0.001180315645 Long DBT CORP IE N 2 2025-01-29 Fixed 0.04700000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389VQU4 369.21880000 PA USD 432.88000000 0.000001499717 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.07000000 N N N N N N ITAU UNIBANCO HOLDING SA CAYMAN ISLAND BRANCH BZO2P8KHO2O10H5QQ663 46556UAB0 325000.00000000 PA USD 331565.00000000 0.001148710642 Long EP CORP KY N 2 N N N MRCD 2019-PARK G N/A 55348UAW8 966000.00000000 PA USD 904578.15000000 0.003133921094 Long ABS-MBS CORP US N 2 2036-12-15 Fixed 0.02717520 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38378Y2R9 3263910.92640000 PA USD 3496682.61000000 0.012114295920 Long ABS-CBDO USGA US N 2 2044-02-20 Fixed 0.03000000 N N N N N N STARFRUIT US HOLDCO LLC 213800XPQ78J7OIF6Y69 N/A 7251382.75000000 PA USD 6997584.35000000 0.024243209062 Long LON CORP US N 2 2025-10-01 Variable 0.04670880 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RV60 10857407.61620000 PA USD 10861593.15000000 0.037630110667 Long ABS-CBDO USGA US N 2 2066-08-20 Variable 0.01880000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230KL66 13629.23100000 PA USD 14791.26000000 0.000051244485 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401JFK9 235665.88480000 PA USD 262946.00000000 0.000910979351 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201ND56 2552.36400000 PA USD 2970.54000000 0.000010291468 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176LEH4 17330.07790000 PA USD 18785.98000000 0.000065084237 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297RWW3 5965.62090000 PA USD 6691.93000000 0.000023184266 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31359SXB1 133256.55530000 PA USD 148733.80000000 0.000515289909 Long ABS-CBDO USGSE US N 2 2031-05-25 Fixed 0.06000000 N N N N N N PLAYPOWER INC 549300SUBBD4NQQD2G45 72813NAU9 746250.00000000 PA USD 746250.00000000 0.002585391452 Long LON CORP US N 3 2026-05-10 Variable 0.07460500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203M4K3 1941.90380000 PA USD 2215.27000000 0.000007674827 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210FM29 1571.05010000 PA USD 1792.65000000 0.000006210655 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N EL PASO PIPELINE PARTNERS OPER CO L L C N/A 28370TAA7 470000.00000000 PA USD 471624.21000000 0.001633947338 Long DBT CORP US N 2 2020-04-01 Fixed 0.06500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392JY37 21903.57390000 PA USD 4983.17000000 0.000017264248 Long ABS-CBDO USGSE US N 2 2033-03-25 Variable 0.06473250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YR5Y0 60547.12470000 PA USD 64143.70000000 0.000222226564 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03500000 N N N N N N SUNOCO LOGISTICS PRTNR OPER LP 5493006LL0CKP8WQW329 86765BAV1 32027000.00000000 PA USD 33952641.31000000 0.117629304678 Long DBT CORP US N 2 2047-10-01 Fixed 0.05400000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DSD4 12327.01610000 PA USD 14289.65000000 0.000049506651 Long ABS-MBS USGA US N 2 2032-03-20 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180DM53 100685.76050000 PA USD 106294.67000000 0.000368259070 Long ABS-MBS USGA US N 2 2043-02-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290RJD6 3553.72490000 PA USD 4018.54000000 0.000013922276 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 0.05500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137B9ED3 371725.83600000 PA USD 28861.57000000 0.000099991231 Long ABS-CBDO USGSE US N 2 2034-03-15 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TZ57 17639715.02900000 PA USD 18611830.90000000 0.064480895832 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A3FZ5 13324.72550000 PA USD 14487.52000000 0.000050192174 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N GS MTG SECS TR 2014-GC20 N/A 36252WAZ1 87638365.78050000 PA USD 2586076.72000000 0.008959491653 Long ABS-MBS CORP US N 2 2047-04-10 Variable 0.01057683 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RNW5 28657017.99300000 PA USD 30418284.05000000 0.105384484512 Long ABS-MBS USGA US N 2 2045-09-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208KRQ4 113.23950000 PA USD 128.12000000 0.000000443873 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C3BW1 15926.43560000 PA USD 17770.34000000 0.000061565541 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410UUH3 595.56250000 PA USD 668.87000000 0.000002317307 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 0.06000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QBH4 6441000.00000000 PA USD 6692199.00000000 0.023185198110 Long DBT CORP MX N 2 2024-01-18 Fixed 0.04875000 N N N N N N SHEARERS FOODS LLC 549300AQWIJSYS2CIH04 82087UAH0 2462037.33000000 PA USD 2452189.18000000 0.008495636776 Long LON CORP US N 2 2022-03-31 Variable 0.05853380 N N N N N N ALTRA INDL MOTION CORP NQ0NIXPGW4YKG4MWM571 02208HAB4 1525062.67000000 PA USD 1509171.52000000 0.005228541571 Long LON CORP US N 2 2025-10-01 Variable 0.03603380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A74T2 206163.14380000 PA USD 224057.49000000 0.000776249674 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WPRV1 1446510.22000000 PA USD 1585637.60000000 0.005493459158 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375MMR1 216.19880000 PA USD 240.57000000 0.000000833457 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 0.07000000 N N N N N N CREST 2004-1 LTD/CORP 549300MJZTHEPDTYM573 22608WAS8 370788.14000000 PA USD 37.08000000 0.000000128464 Long ABS-CBDO CORP KY N 3 2040-01-28 Variable 0.05945750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403CXV8 56140.36050000 PA USD 65510.38000000 0.000226961442 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208T3T5 186.41110000 PA USD 211.48000000 0.000000732674 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GSD3 264606.26770000 PA USD 281347.80000000 0.000974732592 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.03500000 N N N N N N GAVILAN RESOURCES LLC 54930045U6YHRH5DKI14 36808UAB7 12168674.00000000 PA USD 4056184.10000000 0.014052695075 Long LON CORP US N 2 2024-03-01 Variable 0.07603380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GJGT0 317533.78810000 PA USD 346276.15000000 0.001199677585 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NF67 35396.88730000 PA USD 39116.19000000 0.000135518476 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31380VZK5 2536.64600000 PA USD 2896.32000000 0.000010034332 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N HILTON USA TR 2016-HHV N/A 43300LAQ3 1817000.00000000 PA USD 1884217.01000000 0.006527890856 Long ABS-MBS CORP US N 2 2038-11-05 Variable 0.04193500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AN5T3 82106.01860000 PA USD 90516.75000000 0.000313596290 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371X2J1 28.08930000 PA USD 29.91000000 0.000000103623 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208EZC0 231.57800000 PA USD 263.38000000 0.000000912482 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N DATTO INC N/A 23820PAD6 1243750.00000000 PA USD 1243750.00000000 0.004308985753 Long LON CORP US N 2 2026-04-02 Variable 0.05853380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180DYH4 196427.63510000 PA USD 204839.41000000 0.000709668421 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 0.03000000 N N N N N N WFRBS COML MTG TR 2011-C4 N/A 92936CBD0 372000.00000000 PA USD 289611.67000000 0.001003362862 Long ABS-MBS CORP US N 2 2044-06-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QUSU8 253892.69500000 PA USD 272828.01000000 0.000945215684 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGBW3 1459373.78500000 PA USD 1572486.64000000 0.005447897510 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N US RENAL CARE INC 54930058SS5MF69JGN89 90290PAN4 5486250.00000000 PA USD 5424529.69000000 0.018793343640 Long LON CORP US N 2 2026-06-13 Variable 0.06625000 N N N N N N NIGERIA REPUBLIC OF 549300GSBZD84TNEQ285 65412JAC7 1155000.00000000 PA USD 1149225.00000000 0.003981502836 Long DBT NUSS NG N 2 2027-11-28 Fixed 0.06500000 N N N N N N WESTERN GAS PARTNERS LP L6D8A6MLSY454J2JXJ60 958254AF1 5039000.00000000 PA USD 5289196.63000000 0.018324480744 Long DBT CORP US N 2 2026-07-01 Fixed 0.04650000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208YJM2 236.08940000 PA USD 271.91000000 0.000000942035 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208Q2Y1 108.27910000 PA USD 122.19000000 0.000000423328 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BDK1 552.60320000 PA USD 628.50000000 0.000002177445 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9CJ9 2296671.74350000 PA USD 2503125.31000000 0.008672105567 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376WGZ7 52.36240000 PA USD 59.81000000 0.000000207212 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207HM95 672.25540000 PA USD 760.58000000 0.000002635037 Long ABS-MBS USGA US N 2 2027-05-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M8AY0 175127.23030000 PA USD 191088.76000000 0.000662029141 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180CRK7 29362.80860000 PA USD 31912.17000000 0.000110560069 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AFYF1 24398.35590000 PA USD 26523.68000000 0.000091891585 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295LZ53 23258.56330000 PA USD 25951.36000000 0.000089908776 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N OLIN CORP 549300GKK294V7W57P06 680665AJ5 3663000.00000000 PA USD 3691205.10000000 0.012788221257 Long DBT CORP US N 2 2027-09-15 Fixed 0.05125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213XEZ3 1780.79500000 PA USD 2054.79000000 0.000007118842 Long ABS-MBS USGA US N 2 2031-10-15 Fixed 0.07000000 N N N N N N MORGAN STANLEY CAP I TR 2011-C3 N/A 61760RAL6 2163000.00000000 PA USD 2200542.11000000 0.007623802694 Long ABS-MBS CORP US N 2 2049-07-15 Variable 0.05244467 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A3MA2 48106.92570000 PA USD 52297.50000000 0.000181185272 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828W71 253410000.00000000 PA USD 265704343.26000000 0.920535662080 Long DBT UST US N 2 2024-03-31 Fixed 0.02125000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810SK5 60000000.00000000 PA USD 70038281.40000000 0.242648407430 Long DBT UST US N 2 2049-11-15 Fixed 0.02375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410TEB7 17447.99180000 PA USD 17902.76000000 0.000062024311 Long ABS-MBS USGSE US N 2 2021-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GVP2 2410.33250000 PA USD 2760.82000000 0.000009564891 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 0.07500000 N N N N N N PLAINS ALL AM PIPELN/PAA FIN C N/A 72650RAZ5 4550000.00000000 PA USD 4677497.87000000 0.016205243564 Long DBT CORP US N 2 2022-06-01 Fixed 0.03650000 N N N N N N CONNECT FINCO SARL 2594001KNYIQ456J2792 N/A 3120000.00000000 PA USD 3084900.00000000 0.010687670472 Long LON CORP LU N 2 2026-12-11 Variable 0.06110000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EHB0 14566.53170000 PA USD 15436.39000000 0.000053479545 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NQ35 1796001.48430000 PA USD 1885744.09000000 0.006533181441 Long ABS-MBS USGA US N 2 2043-10-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200A3J6 5473.21120000 PA USD 6081.65000000 0.000021069944 Long ABS-MBS USGA US N 2 2035-08-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207RJB2 17.06630000 PA USD 19.41000000 0.000000067246 Long ABS-MBS USGA US N 2 2027-05-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312941HS9 6645.87960000 PA USD 7355.70000000 0.000025483904 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.04500000 N N N N N N OCWEN LOAN SERVICING LLC 549300MEMWF0Y8H4PL17 67574UAC2 877202.11000000 PA USD 874281.03000000 0.003028956384 Long LON CORP US N 2 2020-12-05 Variable 0.07612630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAR41 748034.29560000 PA USD 790130.82000000 0.002737417042 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213EZP4 113366.68580000 PA USD 123670.06000000 0.000428456302 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QNGS2 3264438.46960000 PA USD 3497739.40000000 0.012117957180 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N EGYPT, (ARAB) REP OF 529900GFIVH4086NMH82 03846JW55 806000.00000000 PA USD 816578.75000000 0.002829046191 Long DBT NUSS EG N 2 2048-02-21 Fixed 0.07903000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209DBA1 672.78360000 PA USD 752.83000000 0.000002608187 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07000000 N N N N N N SAMHALLSBYGGNADSBOLAGET I NORDEN AB 549300HX9MRFY47AH564 N/A 5290000.00000000 PA 6126389.07000000 0.021224943294 Long DBT CORP SE N 2 2025-01-14 Fixed 0.01750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375EWT4 314.14690000 PA USD 348.78000000 0.000001208352 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BMV7 661.27370000 PA USD 749.54000000 0.000002596789 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HC92 52.92550000 PA USD 56.72000000 0.000000196507 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 0.07000000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BD1 6808000.00000000 PA USD 7421033.71000000 0.025710254095 Long DBT CORP US N 2 2025-01-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 362165HJ4 285.80350000 PA USD 301.49000000 0.000001044515 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31414RTX3 70474.63200000 PA USD 83956.30000000 0.000290867538 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404SJW6 40282.74290000 PA USD 44155.51000000 0.000152977257 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290YXH6 21198.07210000 PA USD 23328.31000000 0.000080821190 Long ABS-MBS USGA US N 2 2033-11-15 Fixed 0.05000000 N N N N N N DELTA 2 SARL 549300BBG8Z3D6QSYP53 N/A 10615708.60000000 PA USD 10244158.80000000 0.035491002471 Long LON CORP LU N 2 2024-02-01 Variable 0.04103380 N N N N N N AMWINS GROUP INC 549300SJE7MUB8NMRG61 031921AA7 6280000.00000000 PA USD 6519456.40000000 0.022586729445 Long DBT CORP US N 2 2026-07-01 Fixed 0.07750000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31393FCL8 107157.80020000 PA USD 120182.25000000 0.000416372746 Long ABS-CBDO USGSE US N 2 2032-11-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AECL5 3151.11050000 PA USD 3443.60000000 0.000011930390 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J9PR3 49250.87180000 PA USD 53416.51000000 0.000185062094 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FNR5 419774.41450000 PA USD 444972.97000000 0.001541613819 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375AXH7 485.38440000 PA USD 537.89000000 0.000001863525 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224R5C4 299.03410000 PA USD 314.97000000 0.000001091217 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FUY1 1551.97340000 PA USD 1805.26000000 0.000006254343 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AFDT1 48225.44470000 PA USD 53225.82000000 0.000184401447 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206NWZ4 248.39110000 PA USD 273.93000000 0.000000949033 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419FPH3 80777.93480000 PA USD 87827.08000000 0.000304277898 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378KWQ3 777.68900000 PA USD 824.85000000 0.000002857702 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAD8 4970000.00000000 PA USD 5016593.75000000 0.017380045024 Long DBT CORP KY N 2 2027-10-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384LXP4 3056.97180000 PA USD 3484.62000000 0.000012072504 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.07000000 N N N N N N MORGAN STANLEY CAP I TR 2011-C3 N/A 61760RAS1 1123200.00000000 PA USD 1051804.92000000 0.003643989881 Long ABS-MBS CORP US N 2 2049-07-15 Variable 0.05244467 N N N N N N TELECOM ITALIA SPA NEW 549300W384M3RI3VXU42 87927YAA0 8625000.00000000 PA USD 9207187.50000000 0.031898403831 Long DBT CORP IT N 2 2024-05-30 Fixed 0.05303000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297JPL2 81376.02150000 PA USD 90950.04000000 0.000315097428 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.05000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BJK9 801335.93170000 PA USD 799528.84000000 0.002769976587 Long ABS-CBDO USGA US N 2 2060-12-20 Variable 0.02114380 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QGB84 15848.49660000 PA USD 16624.55000000 0.000057595938 Long ABS-MBS USGSE US N 2 2035-10-01 Variable 0.04873000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ET7C4 9228579.87960000 PA USD 9863286.54000000 0.034171466277 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GUST2 2645632.89070000 PA USD 2878494.88000000 0.009972577631 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.04000000 N N N N N N BERMUDA GOVERNMENT OF 549300FP5PUZXX9FVJ40 085209AF1 1565000.00000000 PA USD 1818823.44000000 0.006301334103 Long DBT NUSS BM N 2 2029-02-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371J7G3 262.15430000 PA USD 305.21000000 0.000001057403 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206FJE3 483.66190000 PA USD 534.59000000 0.000001852093 Long ABS-MBS USGA US N 2 2025-06-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WMW49 302291.69330000 PA USD 326199.55000000 0.001130121980 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7TM5 8645140.37750000 PA USD 9127684.45000000 0.031622964628 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EFBS4 111711.56850000 PA USD 121487.20000000 0.000420893760 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N IRIDIUM SATELLITE LLC 254900615BJ7139TFM33 46269KAJ3 2245000.00000000 PA USD 2242193.75000000 0.007768105266 Long LON CORP US N 2 2026-11-04 Variable 0.05353380 N N N N N N CITGO HLDG INC 549300NYHOALWZ2BSL72 17304YAD4 1416450.00000000 PA USD 1416450.00000000 0.004907306830 Long LON CORP US N 2 2023-08-01 Variable 0.08603380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208NBM4 461.96800000 PA USD 520.97000000 0.000001804906 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BA3 2699000.00000000 PA USD 3223129.26000000 0.011166567286 Long DBT CORP US N 2 2035-08-15 Fixed 0.05700000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297J4Z4 241719.94990000 PA USD 267085.41000000 0.000925320383 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N ARES CAPITAL CORP WEQ82666OJYSI5GUAB47 04010LAX1 31505000.00000000 PA USD 33457494.34000000 0.115913862475 Long DBT CORP US N 2 2024-06-10 Fixed 0.04200000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAT7 11018000.00000000 PA USD 12375768.30000000 0.042875987370 Long DBT CORP US N 2 2049-02-15 Fixed 0.05500000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 64072UAE2 4747727.34600000 PA USD 4686339.23000000 0.016235874554 Long LON CORP US N 2 2025-07-17 Variable 0.03908500 N N N N N N BENCHMARK 2018-B7 MTG TR N/A 08162TAG8 614000.00000000 PA USD 580276.23000000 0.002010373473 Long ABS-MBS CORP US N 2 2053-05-15 Variable 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XYJE8 1503658.51500000 PA USD 1625727.62000000 0.005632351480 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04500000 N N N N N N UKRAINE CABINET OF MINISTERS 6354001WLTJXOMEXPY07 903724AP7 1394000.00000000 PA USD 1498550.00000000 0.005191743196 Long DBT NUSS UA N 2 2022-09-01 Fixed 0.07750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374GN45 337.41530000 PA USD 383.15000000 0.000001327427 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASK73 42640.55280000 PA USD 47350.80000000 0.000164047374 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YTHM9 299100.61340000 PA USD 322376.71000000 0.001116877709 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297SW84 2306.36250000 PA USD 2593.09000000 0.000008983789 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X52L0 68358.54300000 PA USD 76308.12000000 0.000264370333 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QMD40 45742.56840000 PA USD 49454.23000000 0.000171334731 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04000000 N N N N N N BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA N/A 09228YAB8 23770703.01630000 PA USD 24341226.04000000 0.084330449226 Long ABS-CBDO CORP KY N 2 2041-12-16 Variable 0.04213000 N N N N N N JBS USA LLC / JBS USA FIN INC N/A 472141AA8 1480000.00000000 PA USD 1604764.00000000 0.005559722784 Long DBT CORP US N 2 2028-02-15 Fixed 0.06750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291H4R2 1226.66460000 PA USD 1435.97000000 0.000004974934 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KE72 723.58700000 PA USD 834.77000000 0.000002892069 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 64072UAH5 1261260.00000000 PA USD 1241559.12000000 0.004301395425 Long LON CORP US N 2 2026-01-15 Variable 0.03908500 N N N N N N HEIMSTADEN BOSTAD AB 549300TJR3PR8EXILG79 N/A 7450000.00000000 PA 8238129.37000000 0.028541091127 Long DBT CORP SE N 2 2199-12-31 Variable 0.03248000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJH92 4055310.09000000 PA USD 4231579.41000000 0.014660354083 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 0.03000000 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VDV3 22998000.00000000 PA USD 33673617.09000000 0.116662622154 Long DBT CORP US N 2 2047-03-16 Fixed 0.05500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394FGT6 852146.04940000 PA USD 985000.05000000 0.003412543664 Long ABS-CBDO USGSE US N 2 2035-09-25 Fixed 0.05900000 N N N N N N USIMINAS INTERNATIONAL SARL 529900KLYX6QPXVIVP43 91734JAA8 690000.00000000 PA USD 687412.50000000 0.002381548276 Long DBT CORP LU N 2 2026-07-18 Fixed 0.05875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200JL99 29086.66000000 PA USD 32408.13000000 0.000112278328 Long ABS-MBS USGA US N 2 2036-03-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X3BR8 19657418.97800000 PA USD 20607200.59000000 0.071393876389 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713AT3 3221000.00000000 PA USD 4269048.66000000 0.014790166718 Long DBT CORP US N 2 2037-06-15 Fixed 0.07250000 N N N N N N LIBERTY PPTY LTD PARTNERSHIP 549300N6GNCW2Y4RH795 53117CAP7 5207000.00000000 PA USD 5543295.81000000 0.019204810188 Long DBT CORP US N 2 2023-06-15 Fixed 0.03375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176HTG9 108619.65760000 PA USD 115593.81000000 0.000400476044 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206WBV6 368.10390000 PA USD 420.34000000 0.000001456272 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206FAR3 2079.94840000 PA USD 2322.01000000 0.000008044629 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 362165L34 231.62600000 PA USD 247.61000000 0.000000857847 Long ABS-MBS USGA US N 2 2023-05-15 Fixed 0.07500000 N N N N N N MOROCCO KINGDOM OF 529900F3MBW9XY5K1X07 617726AF1 1315000.00000000 PA USD 1384037.50000000 0.004795013362 Long DBT NUSS MA N 2 2022-12-11 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128LXFN5 91533.83700000 PA USD 102938.87000000 0.000356632863 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 0.05000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QAZ5 1270000.00000000 PA USD 1228725.00000000 0.004256931473 Long DBT CORP MX N 2 2041-06-02 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AKL3 235.85150000 PA USD 258.94000000 0.000000897100 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 0.07000000 N N N N N N BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL 213800Y3B5GQFBGVHP79 N/A 1900000.00000000 PA 2222390.44000000 0.007699496477 Long DBT CORP LU N 2 2024-02-15 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207RGE9 383.99630000 PA USD 435.37000000 0.000001508344 Long ABS-MBS USGA US N 2 2027-02-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412D2G2 6986.05260000 PA USD 8476.01000000 0.000029365231 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.08000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828N30 275186800.00000000 PA USD 284710844.53000000 0.986383897813 Long DBT UST US N 2 2022-12-31 Fixed 0.02125000 N N N N N N HARBOR FREIGHT TOOLS USA INC 549300Y48HLCFTTB4249 41151PAM7 2667760.28600000 PA USD 2529383.56000000 0.008763077567 Long LON CORP US N 2 2023-08-19 Variable 0.04103380 N N N N N N UGI ENERGY SERVICES LLC 5493001O7RUKEUP5XR11 90276DAB5 1119375.00000000 PA USD 1110979.69000000 0.003849001532 Long LON CORP US N 2 2026-08-13 Variable 0.05353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404R4W4 30449.96150000 PA USD 33425.33000000 0.000115802428 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AK6 12189000.00000000 PA USD 15122984.33000000 0.052393747960 Long DBT CORP US N 2 2048-12-15 Fixed 0.04900000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31415RU77 1259.89880000 PA USD 1310.85000000 0.000004541454 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNN47 20065.71340000 PA USD 21531.11000000 0.000074594770 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N AVOLON HLDGS FDG LTD 635400ZRKEX9L1BKCH30 05401AAF8 7125000.00000000 PA USD 7412238.89000000 0.025679784343 Long DBT CORP KY N 2 2024-07-01 Fixed 0.03950000 N N N N N N CHESAPEAKE ENERGY CORP X2MT1W32SPAZ9WSKLE78 16516FAH2 8750000.00000000 PA USD 7926012.50000000 0.027459758748 Long LON CORP US N 2 2024-06-09 Variable 0.09927750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FMN5 250085.93640000 PA USD 258754.54000000 0.000896457991 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.02500000 N N N N N N SPRINT COMMUNICATIONS INC 549300JKU50UT08ZWD77 85208EAB6 846427.22400000 PA USD 837962.95000000 0.002903131990 Long LON CORP US N 2 2024-02-03 Variable 0.04187500 N N N N N N SMG US MIDCO 2 INC N/A 78453JAC0 872919.15000000 PA USD 864189.96000000 0.002993995759 Long LON CORP US N 2 2025-01-23 Variable 0.04799380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206KG96 274.98420000 PA USD 303.26000000 0.000001050647 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4RB8 107196.75450000 PA USD 119406.64000000 0.000413685636 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.05000000 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 455780AT3 2280000.00000000 PA USD 3693691.20000000 0.012796834378 Long DBT NUSS ID N 2 2035-10-12 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKPB5 276525.73700000 PA USD 298836.75000000 0.001035323254 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TRH4 2900.87100000 PA USD 3287.00000000 0.000011387848 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 0.07500000 N N N N N N FOCUS FINANCIAL PARTNERS LLC 5493007L0E0VKRC2CP39 34416DAT5 876083.49000000 PA USD 867051.07000000 0.003003908106 Long LON CORP US N 2 2024-07-03 Variable 0.03603380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XYJF5 2039372.28900000 PA USD 2181271.81000000 0.007557040525 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213E6D3 203.83090000 PA USD 238.23000000 0.000000825350 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GXJ51 416175.28200000 PA USD 449623.62000000 0.001557726048 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223XPM8 121.37420000 PA USD 126.95000000 0.000000439819 Long ABS-MBS USGA US N 2 2022-03-15 Fixed 0.08000000 N N N N N N DRYDEN 72 CLO LTD N/A 26252NAC3 17982000.00000000 PA USD 17974807.20000000 0.062273920115 Long ABS-CBDO CORP KY N 2 2032-05-15 Variable 0.03021750 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -20000000.00000000 NC USD -259252.80000000 -0.00089818421 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-08-05 0.00000000 USD 0.00000000 USD -20000000.00000000 USD 1.00000000 1.97000000 USD 2024-08-01 XXXX 296747.20000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WDBQ6 2513213.80400000 PA USD 2678689.83000000 0.009280350806 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N ITAU UNIBANCO HOLDING SA CAYMAN ISLAND BRANCH BZO2P8KHO2O10H5QQ663 46556MAJ1 640000.00000000 PA USD 666000.00000000 0.002307364431 Long DBT CORP KY N 2 2023-05-13 Fixed 0.05125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208V6F7 96.47260000 PA USD 108.06000000 0.000000374375 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WN2J0 1557087.19400000 PA USD 1706850.02000000 0.005913400940 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N KENYA REPUBLIC OF 549300VVURQQYU45PR87 491798AE4 2005000.00000000 PA USD 2141590.63000000 0.007419564634 Long DBT NUSS KE N 2 2024-06-24 Fixed 0.06875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HLS38 48533.77650000 PA USD 51455.56000000 0.000178268361 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9J52 5466325.57200000 PA USD 5947457.88000000 0.020605034189 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208H7M2 892.42390000 PA USD 1016.01000000 0.000003519977 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FV38 394.17270000 PA USD 460.69000000 0.000001596065 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YVEA3 226493.51850000 PA USD 239027.96000000 0.000828115034 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03000000 N N N N N N VIETNAM SOCIALIST REP 5493008AE7RS4XK4BZ08 N/A 3984366.63610000 PA USD 3947013.20000000 0.013674471274 Long DBT NUSS VN N 2 2028-03-12 Variable 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204DFH7 327.15810000 PA USD 353.55000000 0.000001224877 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M4MF7 241137.86970000 PA USD 269827.83000000 0.000934821527 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HAYB0 401901.41000000 PA USD 432675.12000000 0.001499007781 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N GOBP HLDGS INC N/A 3621LEAL0 1492735.52000000 PA USD 1472210.41000000 0.005100489393 Long LON CORP US N 2 2025-10-22 Variable 0.05169630 N N N N N N YPSO FINANCE BIS SA 529900FLJD3NC14A8I62 98424XAA7 4445000.00000000 PA USD 4268533.50000000 0.014788381941 Long DBT CORP LU N 2 2028-02-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292HAX2 383.33890000 PA USD 446.54000000 0.000001547042 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.08000000 N N N N N N ASSUREDPARTNERS INC 549300HNDSDQWQ3L2P80 04621HAN3 2015000.00000000 PA USD 1974700.00000000 0.006841370184 Long LON CORP US N 2 2027-02-13 Variable 0.00000000 N N N N N N RHP HOTEL PPTYS LP and RHP FIN CORP N/A 749571AD7 597000.00000000 PA USD 605208.75000000 0.002096752467 Long DBT CORP US N 2 2023-04-15 Fixed 0.05000000 N N N N N N PERMANENT MASTER ISSUER PLC 213800MVYG7MLQM2LF25 71419GAX8 29088750.00000000 PA USD 29089826.28000000 0.100782027745 Long ABS-CBDO CORP GB N 2 2058-07-15 Variable 0.02211250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204NCR6 562.82310000 PA USD 618.77000000 0.000002143735 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N LONDON CLEARING HOUSE N/A N/A 2140000.00000000 NC USD 71362.43000000 0.000247235935 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2025-03-18 0.00000000 USD 0.00000000 USD 2152546.82000000 USD 71362.43000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374F6L8 1798.79510000 PA USD 1995.65000000 0.000006913951 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 0.07500000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 4850000.00000000 NC 49167.23000000 0.000170340416 N/A DCR CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 BNP PARIBAS BNP PARIBAS STEP 03/20/2026 REGS Y 2024-12-20 29049.43000000 EUR 0.00000000 EUR 4850000.00000000 EUR 19839.50000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207JSE4 113.95600000 PA USD 129.17000000 0.000000447510 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4JX9 15215.05300000 PA USD 16597.88000000 0.000057503540 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410FSX4 94823.86880000 PA USD 109746.25000000 0.000380217107 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.06500000 N N N N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 225401AF5 11793000.00000000 PA USD 12817947.91000000 0.044407923562 Long DBT CORP CH N 2 2029-01-12 Variable 0.03869000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293LSS4 200.77710000 PA USD 228.19000000 0.000000790566 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419FET9 223750.99800000 PA USD 243276.79000000 0.000842835153 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N BANK OF IRELAND GROUP PLC 635400C8EK6DRI12LJ39 N/A 2600000.00000000 PA 3402628.67000000 0.011788444995 Long DBT CORP IE N 2 2027-09-19 Variable 0.03125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296JUD5 51567.73520000 PA USD 57634.76000000 0.000199676269 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N BORETS FIN DAC 635400LFT9PKEEFTKC04 09973BAA7 676000.00000000 PA USD 700082.50000000 0.002425443633 Long DBT CORP IE N 2 2022-04-07 Fixed 0.06500000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473PAH8 31524000.00000000 PA USD 33042053.67000000 0.114474563638 Long DBT CORP US N 2 2029-09-01 Fixed 0.02950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M7RM9 61292.21550000 PA USD 65737.51000000 0.000227748336 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KAN8 7761.56180000 PA USD 8593.64000000 0.000029772761 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378LN65 154.69640000 PA USD 175.68000000 0.000000608645 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N COMM 2013-CCRE9 MTG TR 549300C72XVZH4MIKU63 12625UAG8 334462.00000000 PA USD 325074.72000000 0.001126224994 Long ABS-MBS CORP US N 2 2045-07-10 Variable 0.04245159 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJQU5 1131404.29680000 PA USD 1213460.75000000 0.004204048308 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NA70 11699.96630000 PA USD 13037.80000000 0.000045169603 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378GGJ6 1339.41940000 PA USD 1479.92000000 0.000005127199 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CH3 3295000.00000000 PA USD 3424790.05000000 0.011865223343 Long DBT CORP US N 2 2029-06-15 Fixed 0.05250000 N N N N N N UBS GROUP FUNDING JERSEY LTD N/A 90351DAB3 12029000.00000000 PA USD 13406694.60000000 0.046447643040 Long DBT CORP JE N 2 2025-09-24 Fixed 0.04125000 N N N N N N IHEARTMEDIA INC N/A 45174J145 5.00000000 NS USD 75.55000000 0.000000261743 Long EC CORP US N 2 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQTW2 3669656.81830000 PA USD 3914716.13000000 0.013562577714 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N CREDIT SUIS FT BS MTG SECS CRP N/A 22540AGB8 156795.86060000 PA USD 125122.92000000 0.000433489752 Long ABS-MBS CORP US N 2 2040-05-17 Fixed 0.06000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31300LKD6 792937.06700000 PA USD 829517.32000000 0.002873872011 Long ABS-MBS USGSE US N 2 2040-12-01 Variable 0.03767000 N N N N N N PROJECT ALPHA INTERMEDIATE HOLDING INC N/A 74339DAD0 995000.00000000 PA USD 986293.75000000 0.003417025702 Long LON CORP US N 2 2024-04-26 Variable 0.06130000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 64072UAK8 4375000.00000000 PA USD 4320312.50000000 0.014967770864 Long LON CORP US N 2 2027-04-15 Variable 0.04158500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293JRN1 547.40850000 PA USD 605.55000000 0.000002097934 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VCD4 4932634.67350000 PA USD 5493605.95000000 0.019032659114 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.05000000 N N N N N N MPT OPER PARTNERSHIP LP / MPT FIN CORP N/A 55342UAH7 3424000.00000000 PA USD 3572978.24000000 0.012378622981 Long DBT CORP US N 2 2027-10-15 Fixed 0.05000000 N N N N N N GS MTG SECS TR 2011-GC5 N/A 36191YAQ1 1339218.00000000 PA USD 976599.42000000 0.003383439587 Long ABS-MBS CORP US N 2 2044-08-10 Fixed 0.04500000 N N N N N N QORVO INC 254900YAUJV2EUEVBR11 74736KAF8 2714000.00000000 PA USD 2803562.00000000 0.009712971832 Long DBT CORP US N 2 2026-07-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GGB87 78276.18120000 PA USD 86563.19000000 0.000299899137 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419G4G6 30015.05910000 PA USD 32620.28000000 0.000113013324 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384VP48 4064.94820000 PA USD 4729.93000000 0.000016386895 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.07500000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAQ6 5574000.00000000 PA USD 5700044.36000000 0.019747867289 Long DBT CORP US N 2 2022-07-25 Fixed 0.02850000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFLK1 17019.40850000 PA USD 18917.51000000 0.000065539924 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N MACH ONE 2004-1 LLC N/A 55445RAQ0 26958.20620000 PA USD 26859.15000000 0.000093053824 Long ABS-MBS CORP US N 2 2040-05-28 Variable 0.05450000 N N N N N N ALLIANT HLDGS INTERMEDIATE LLC 5493006Q26653NF8SI73 01881UAF2 995000.00000000 PA USD 979249.15000000 0.003392619607 Long LON CORP US N 2 2025-05-09 Variable 0.04908500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200MLT8 10237.62390000 PA USD 11290.47000000 0.000039115959 Long ABS-MBS USGA US N 2 2033-05-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VB4 22447238.03500000 PA USD 23335401.17000000 0.080845757741 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AG5 12150000.00000000 PA USD 13517755.27000000 0.046832413970 Long DBT CORP US N 2 2025-11-15 Fixed 0.04125000 N N N N N N DAVIDS BRIDAL INC N/A N/A 44448.47000000 PA USD 44448.47000000 0.000153992220 Long LON CORP US N 3 2023-06-30 Variable 0.07650000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297F2U5 17906.96650000 PA USD 19996.96000000 0.000069279691 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224DFD2 100.21330000 PA USD 105.61000000 0.000000365887 Long ABS-MBS USGA US N 2 2022-07-15 Fixed 0.08000000 N N N N N N EQUINOX HOLDINGS INC 549300W05QKLNGQIIA73 29446CAP9 3628493.93200000 PA USD 3566519.26000000 0.012356245773 Long LON CORP US N 2 2024-03-08 Variable 0.04603380 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 89364MBS2 2484460.45000000 PA USD 2434771.24000000 0.008435292129 Long LON CORP US N 2 2024-08-22 Variable 0.03853380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31359D5R0 4418.19050000 PA USD 5262.02000000 0.000018230327 Long ABS-CBDO USGSE US N 2 2023-09-25 Variable 0.15198481 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VA6 44766687.18500000 PA USD 46495988.50000000 0.161085870982 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.03000000 N N N N N N PIXELLE SPECIALTY SOLUTIONS LLC N/A 72582PAB5 750000.00000000 PA USD 732420.00000000 0.002537477262 Long LON CORP US N 2 2024-10-31 Variable 0.08103380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AUD0 4771.43730000 PA USD 5386.69000000 0.000018662247 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAYL5 294653.71540000 PA USD 311235.71000000 0.001078279590 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N NEXTERA ENERGY OPERATING PARTNERS LP 549300KJEC5IUVJWR786 65342QAB8 596000.00000000 PA USD 621636.94000000 0.002153668115 Long DBT CORP US N 2 2027-09-15 Fixed 0.04500000 N N N N N N BANK OF IRELAND GROUP PLC 635400C8EK6DRI12LJ39 N/A 3900000.00000000 PA 4481237.72000000 0.015525298084 Long DBT CORP IE N 2 2029-10-14 Variable 0.02375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410LKA9 29014.43510000 PA USD 32089.84000000 0.000111175608 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04500000 N N N N N N ENSEMBLE S MERGER SUB INC 5493004PHY9OSX9W7627 29359FAA0 6506000.00000000 PA USD 6676782.50000000 0.023131787473 Long DBT CORP US N 2 2023-09-30 Fixed 0.09000000 N N N N N N NEPTUNE FINCO CORP N/A 64072TAC9 2105000.00000000 PA USD 2199767.10000000 0.007621117664 Long DBT CORP US N 2 2025-10-15 Fixed 0.06625000 N N N N N N VIRGIN MEDIA BRISTOL LLC N/A N/A 3500000.00000000 PA USD 3435845.00000000 0.011903523341 Long LON CORP US N 2 2028-01-31 Variable 0.04158500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295VGY9 10159.64990000 PA USD 11370.82000000 0.000039394332 Long ABS-MBS USGA US N 2 2038-11-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292GTE6 50.41890000 PA USD 55.98000000 0.000000193943 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.08500000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BS7 2434000.00000000 PA USD 2747693.92000000 0.009519416245 Long DBT CORP US N 2 2026-02-15 Fixed 0.05875000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396WYX8 109051.91600000 PA USD 231651.34000000 0.000802558652 Long ABS-CBDO USGSE US N 2 2037-07-25 Variable 0.29839500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405CGV5 4597.06390000 PA USD 5063.24000000 0.000017541651 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312944YF2 62259.56780000 PA USD 68909.29000000 0.000238737004 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7C67 261791.12570000 PA USD 283933.42000000 0.000983690501 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N YPF SOCIEDAD ANONIMA 5493003N7447U18U5U53 N/A 4650000.00000000 PA USD 4515586.17000000 0.015644298673 Long DBT CORP AR N 2 2021-03-23 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204KVD2 85.53340000 PA USD 97.28000000 0.000000337027 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810RM2 42618500.00000000 PA USD 54280319.91000000 0.188054774013 Long DBT UST US N 2 2045-05-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ARH3 585811.74560000 PA USD 608990.38000000 0.002109853966 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.03000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AF4 19904000.00000000 PA USD 21302399.11000000 0.073802399418 Long DBT CORP US N 2 2023-03-15 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31296YFS7 27237.38820000 PA USD 30455.32000000 0.000105512795 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31300MH89 246829.85100000 PA USD 258535.56000000 0.000895699332 Long ABS-MBS USGSE US N 2 2042-10-01 Variable 0.04376000 N N N N N N ORTHO-CLINICAL DIAGNOSTICS INC 5493006VJVVGE5PD4517 N/A 5451983.04000000 PA USD 5179383.89000000 0.017944033280 Long LON CORP US N 2 2025-06-30 Variable 0.04905000 N N N N N N UBS COML MTG TR 2012-C1 N/A 90269GAS0 762700.00000000 PA USD 322099.88000000 0.001115918628 Long ABS-MBS CORP US N 2 2045-05-10 Variable 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A83H4 54248.00760000 PA USD 59872.84000000 0.000207430122 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BWH7 1122.10230000 PA USD 1294.61000000 0.000004485190 Long ABS-MBS USGA US N 2 2032-11-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203AGE0 930.66620000 PA USD 990.10000000 0.000003430212 Long ABS-MBS USGA US N 2 2023-04-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QR6M7 84756.20680000 PA USD 89673.21000000 0.000310673836 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.03000000 N N N N N N WEIGHT WATCHERS INTL NEW SGT8R1MU6ESIC7UJC518 948627AW4 3755577.73000000 PA USD 3743071.66000000 0.012967913533 Long LON CORP US N 2 2024-11-29 Variable 0.06720000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374UC61 654.50580000 PA USD 724.33000000 0.000002509449 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WEQE2 460837.42000000 PA USD 481663.45000000 0.001668728397 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 0.03000000 N N N N N N PLAINS ALL AM PIPELN/PAA FIN C N/A 72650RBM3 4919000.00000000 PA USD 4839193.90000000 0.016765441264 Long DBT CORP US N 2 2029-12-15 Fixed 0.03550000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390UFB7 3904.31800000 PA USD 4617.82000000 0.000015998488 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.07000000 N N N N N N BENCHMARK 2018-B7 MTG TR N/A 08162TAJ2 614000.00000000 PA USD 534544.90000000 0.001851936770 Long ABS-MBS CORP US N 2 2053-05-15 Variable 0.03000000 N N N N N N NAVEX TOPCO INC N/A 63941EAE9 175000.00000000 PA USD 172082.75000000 0.000596182607 Long LON CORP US N 2 2026-09-04 Variable 0.08610000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378DF88 276.05090000 PA USD 307.51000000 0.000001065371 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N DENBURY RESOURCES INC 549300KCWA5W52MS5559 247916AH2 7229000.00000000 PA USD 5783200.00000000 0.020035960931 Long DBT CORP US N 2 2022-03-31 Fixed 0.09250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224JAS1 278.85470000 PA USD 296.18000000 0.000001026118 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GEQJ2 71361.73610000 PA USD 78916.72000000 0.000273407857 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E1JB4 156603.86670000 PA USD 163392.22000000 0.000566074169 Long ABS-MBS USGSE US N 2 2042-01-01 Variable 0.03813000 N N N N N N COMM 2017-COR2 N/A 12595EAN5 368000.00000000 PA USD 358770.96000000 0.001242965994 Long ABS-MBS CORP US N 2 2050-09-10 Fixed 0.03000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137A8PR3 1128055.17100000 PA USD 15005.84000000 0.000051987900 Long ABS-MBS USGSE US N 2 2041-01-25 Variable 0.02252264 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208KJZ3 417.97410000 PA USD 479.15000000 0.000001660020 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200NN49 24201.02640000 PA USD 28167.83000000 0.000097587761 Long ABS-MBS USGA US N 2 2034-08-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206SNE0 197.47170000 PA USD 220.67000000 0.000000764513 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N ON SEMICONDUCTOR CORP ZV20P4CNJVT8V1ZGJ064 68218EAH7 1745625.00000000 PA USD 1722722.40000000 0.005968390977 Long LON CORP US N 2 2026-09-19 Variable 0.03603380 N N N N N N RED VENTURES LLC N/A 75703UAH8 3117372.40000000 PA USD 3055024.95000000 0.010584168028 Long LON CORP US N 2 2024-11-08 Variable 0.04112630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204B5H2 241.92710000 PA USD 265.25000000 0.000000918961 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378FBW4 104.34240000 PA USD 119.44000000 0.000000413801 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N CORE 2019 CORE MTG TR N/A 21871FAA6 10250000.00000000 PA USD 10246923.98000000 0.035500582468 Long ABS-MBS CORP US N 2 2031-12-15 Variable 0.02538500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378KRN6 1339.33190000 PA USD 1541.16000000 0.000005339366 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N WESTERN GAS PARTNERS LP L6D8A6MLSY454J2JXJ60 958254AK0 3701000.00000000 PA USD 3791100.59000000 0.013134310296 Long DBT CORP US N 2 2028-08-15 Fixed 0.04750000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31359VSD6 129790.10780000 PA USD 143372.02000000 0.000496713963 Long ABS-CBDO USGSE US N 2 2029-04-25 Fixed 0.06000000 N N N N N N SAUDI ARABIAN OIL COMPANY 5586006WD91QHB7J4X50 80414L2E4 3660000.00000000 PA USD 4035150.00000000 0.013979822201 Long DBT CORP SA N 2 2039-04-16 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203M6D7 366.47470000 PA USD 415.07000000 0.000001438014 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402EZL5 94483.66170000 PA USD 103386.45000000 0.000358183509 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209FAU3 81.47040000 PA USD 89.06000000 0.000000308549 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AKWL9 57751.52100000 PA USD 60320.97000000 0.000208982673 Long ABS-MBS USGSE US N 2 2041-07-01 Variable 0.04498000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375UDY3 4113964.74270000 PA USD 4126951.30000000 0.014297868829 Long ABS-CBDO USGA US N 2 2063-12-20 Variable 0.02334380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283G3U9 3802.13080000 PA USD 4320.49000000 0.000014968385 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.08500000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2012-C5 N/A 61761AAJ7 288000.00000000 PA USD 300882.33000000 0.001042410189 Long ABS-MBS CORP US N 2 2045-08-15 Variable 0.04676872 N N N N N N IRAQ REP N/A N/A 7001000.00000000 PA USD 6640010.94000000 0.023004391994 Long DBT NUSS IQ N 2 2028-01-15 Fixed 0.05800000 N N N N N N VENEZUELA, REPUBLIC OF 529900XM8PJTJK5OJI77 922646AS3 7846000.00000000 PA USD 1216130.00000000 0.004213295955 Long DBT NUSS VE N 2 2027-09-15 Fixed 0.09250000 Y Y N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GTL4 223.12260000 PA USD 255.54000000 0.000000885321 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CPK4 1272949.43200000 PA USD 1322122.45000000 0.004580507980 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212CRL7 2280.59300000 PA USD 2643.84000000 0.000009159613 Long ABS-MBS USGA US N 2 2031-01-15 Fixed 0.07000000 N N N N N N BENCHMARK 2019-B MORTGAGE TRUST N/A 08162YBP6 485000.00000000 PA USD 460726.87000000 0.001596193382 Long ABS-MBS CORP US N 2 2062-12-15 Variable 0.03294300 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 2350000.00000000 PA 2816809.67000000 0.009758868533 Long EP CORP FR N 2 N N N BX TRUST 2019 N/A 05608BAG5 11328000.00000000 PA USD 11324567.62000000 0.039234090884 Long ABS-MBS CORP US N 2 2034-04-15 Variable 0.02958500 N N N N N N RADIATE HOLDCO LLC 5493000GQJ5RDX9DNJ71 75025KAB4 9278081.55000000 PA USD 9075169.91000000 0.031441027418 Long LON CORP US N 2 2024-02-01 Variable 0.04603380 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851AP4 9562000.00000000 PA USD 13357388.91000000 0.046276822926 Long DBT CORP US N 2 2039-10-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JTBE6 484603.40900000 PA USD 543155.62000000 0.001881768706 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 0.05500000 N N N N N N CENTRAL AMERICAN BOTTLING CORP 549300DT8SH0CF6BTT37 15238XAB5 188000.00000000 PA USD 198163.75000000 0.000686540523 Long DBT CORP VG N 2 2027-01-31 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKVG7 184945.22400000 PA USD 199636.03000000 0.000691641253 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FY59 11839.41700000 PA USD 12604.07000000 0.000043666941 Long ABS-MBS USGA US N 2 2041-11-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375RMG4 290.30670000 PA USD 324.17000000 0.000001123090 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378FB38 121.00980000 PA USD 137.52000000 0.000000476439 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBF81 287165.88630000 PA USD 311185.16000000 0.001078104459 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X42H8 15136009.89200000 PA USD 15647286.14000000 0.054210197431 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03000000 N N N N N N CLOVERIE PLC 5493002N598MXOKUEF55 N/A 3598000.00000000 PA USD 3725729.00000000 0.012907829693 Long DBT CORP IE N 2 2044-09-11 Variable 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YSKV7 169913.18800000 PA USD 183454.47000000 0.000635580058 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SJU2 200643.20100000 PA USD 213659.95000000 0.000740227280 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402RPS2 35775.96300000 PA USD 37359.26000000 0.000129431573 Long ABS-MBS USGSE US N 2 2035-01-01 Variable 0.03549000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213E2G0 2973.99240000 PA USD 3457.45000000 0.000011978374 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKDD4 364363.69270000 PA USD 408573.91000000 0.001415508870 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EJ83 181074.50370000 PA USD 200324.23000000 0.000694025530 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N DTZ US BORROWER LLC N/A N/A 4935525.00000000 PA USD 4840910.99000000 0.016771390142 Long LON CORP US N 2 2025-08-21 Variable 0.04353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385JAN8 889.43840000 PA USD 1032.49000000 0.000003577073 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128LXM80 3301.68260000 PA USD 3561.20000000 0.000012337817 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 0.06500000 N N N N N N CITIGROUP COML MTG TR 2019 N/A 17328FAA3 378000.00000000 PA USD 352419.61000000 0.001220961671 Long ABS-MBS CORP US N 2 2056-08-10 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297AG80 45459.77910000 PA USD 49463.55000000 0.000171367020 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVAV9 6943302.25400000 PA USD 7181815.80000000 0.024881480977 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.02500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 N/A 8001000.00000000 PA 9285379.99000000 0.032169302586 Long DBT CORP MX N 2 2024-02-21 Fixed 0.03750000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LV1 14530000.00000000 PA USD 14895657.19000000 0.051606170547 Long DBT CORP US N 2 2023-01-24 Variable 0.03142000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JNMC8 354601.72560000 PA USD 384261.50000000 0.001331278254 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406WK52 61548.72150000 PA USD 64813.17000000 0.000224545950 Long ABS-MBS USGSE US N 2 2036-02-01 Variable 0.03788000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378B3E2 668.03330000 PA USD 757.68000000 0.000002624990 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H56U0 27954.00700000 PA USD 29753.76000000 0.000103082233 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179KVU5 69271.13670000 PA USD 73524.01000000 0.000254724753 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193XHD3 89631.22020000 PA USD 95980.27000000 0.000332524716 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N AETNA INC 549300QKBENKLBXQ8968 008117AP8 1281000.00000000 PA USD 1311381.68000000 0.004543296463 Long DBT CORP US N 2 2022-11-15 Fixed 0.02750000 N N N N N N SAPPHIRE AVIATION FINANCE N/A 80307AAA7 23177000.00000000 PA USD 23176645.39000000 0.080295746569 Long ABS-CBDO CORP US N 2 2040-03-15 Fixed 0.03228000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WNWQ1 1615931.67900000 PA USD 1743517.56000000 0.006040436041 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201CNU4 198.92480000 PA USD 208.55000000 0.000000722523 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203KBK9 22.21550000 PA USD 23.23000000 0.000000080480 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A1MG3 44182.14880000 PA USD 48017.03000000 0.000166355536 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293KTW6 428.88140000 PA USD 482.34000000 0.000001671072 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HCBH8 1267985.88000000 PA USD 1355962.29000000 0.004697746484 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N SURGERY CENTER HLDGS INC 54930054EVI5HWPPW113 86880NAU7 2425189.88000000 PA USD 2340308.23000000 0.008108023977 Long LON CORP US N 2 2024-08-31 Variable 0.04860000 N N N N N N NAGACORP ltd 549300MMNKN0RBJELS20 629721AA9 1000000.00000000 PA USD 1043125.00000000 0.003613918202 Long DBT CORP KY N 2 2021-05-21 Fixed 0.09375000 N N N N N N WINWATER MORTGAGE LOAN TRUST 2015-1 N/A 97652TAJ2 465122.19400000 PA USD 464951.40000000 0.001610829313 Long ABS-CBDO CORP US N 2 2045-01-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418VG55 20524.33930000 PA USD 22725.49000000 0.000078732713 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223Q7K7 27.44940000 PA USD 28.26000000 0.000000097907 Long ABS-MBS USGA US N 2 2021-11-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JP6T4 40097.82260000 PA USD 43451.70000000 0.000150538899 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379J3G9 1951.70530000 PA USD 2232.69000000 0.000007735179 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 0.07000000 N N N N N N BERMUDA GOVERNMENT OF 549300FP5PUZXX9FVJ40 085209AD6 755000.00000000 PA USD 812568.75000000 0.002815153501 Long DBT NUSS BM N 2 2027-01-25 Fixed 0.03717000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411BQA4 8615.86840000 PA USD 9958.18000000 0.000034500225 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.06500000 N N N N N N PROGRESS RESIDENTIAL 2017-SFR TR N/A 74333JAR2 160000.00000000 PA USD 166500.03000000 0.000576841211 Long ABS-CBDO CORP US N 2 2034-08-17 Fixed 0.05350000 N N N N N N USI INC N/A 90351NAF2 125000.00000000 PA USD 124166.25000000 0.000430175358 Long LON CORP US N 2 2026-12-02 Variable 0.05944630 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L7LH0 1815587.82030000 PA USD 1923215.68000000 0.006663002183 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179KP24 88187.34340000 PA USD 95513.32000000 0.000330906962 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416YP51 388496.81600000 PA USD 422338.58000000 0.001463196723 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04000000 N N N N N N COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR N/A 12515DAF1 1079000.00000000 PA USD 1018298.05000000 0.003527904956 Long ABS-MBS CORP US N 2 2050-05-10 Fixed 0.03300000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211NPC6 2272.62820000 PA USD 2620.46000000 0.000009078612 Long ABS-MBS USGA US N 2 2029-11-15 Fixed 0.07000000 N N N N N N FIRST QUANTUM MINERALS LTD 549300I7UVBGWRYMYZ18 335934AH8 1414000.00000000 PA USD 1388194.50000000 0.004809415335 Long DBT CORP CA N 2 2022-05-15 Fixed 0.07250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GSW73 408121.63300000 PA USD 440136.86000000 0.001524859062 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213EZT6 417472.74690000 PA USD 452414.34000000 0.001567394529 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203LDU3 55.93950000 PA USD 59.22000000 0.000000205168 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201KJ23 280.75900000 PA USD 325.48000000 0.000001127629 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASAG4 42993.86140000 PA USD 46619.23000000 0.000161512842 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213EZR0 77402.01230000 PA USD 84170.66000000 0.000291610190 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176DHH9 3961.67920000 PA USD 4376.72000000 0.000015163195 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EEX79 139481.21800000 PA USD 151686.91000000 0.000525520992 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N BRAZIL, FEDERATIVE REPUBLIC OF 254900ZFY40OYEADAP90 105756BR0 7661000.00000000 PA USD 9051950.31000000 0.031360582854 Long DBT NUSS BR N 2 2041-01-07 Fixed 0.05625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224DFX8 122.03550000 PA USD 128.13000000 0.000000443907 Long ABS-MBS USGA US N 2 2022-08-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223SV26 41.23800000 PA USD 42.29000000 0.000000146514 Long ABS-MBS USGA US N 2 2021-12-15 Fixed 0.08500000 N N N N N N GS MTG SECS TR 2010-C2 N/A 36248EAC9 1915047.31490000 PA USD 985.29000000 0.000003413548 Long ABS-MBS CORP US N 2 2043-12-10 Variable 0.00045978 N N N N N N HOME PARTNERS AMER 2019-1 TR N/A 43731QAJ7 702804.21000000 PA USD 696570.76000000 0.002413277170 Long ABS-MBS CORP US N 2 2039-09-17 Fixed 0.03604000 N N N N N N POSCO 988400E5HRVX81AYLM04 693483AD1 615000.00000000 PA USD 657726.49000000 0.002278700763 Long DBT CORP KR N 2 2023-08-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292HMF8 11182.50700000 PA USD 12876.87000000 0.000044612059 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.06000000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAL9 10546000.00000000 PA USD 11526035.46000000 0.039932078464 Long DBT CORP IE N 2 2026-04-03 Fixed 0.04450000 N N N N N N FRONT RANGE BIDCO INC N/A 98919XAB7 8805000.00000000 PA USD 8588044.80000000 0.029753377039 Long LON CORP US N 2 2027-02-20 Variable 0.00000000 N N N N N N ANCESTRY COM OPERATIONS INC N/A 03280FAH4 3082051.53000000 PA USD 2835487.41000000 0.009823577771 Long LON CORP US N 2 2023-10-19 Variable 0.05360000 N N N N N N CVENT INC N/A 23248RAB0 1564594.20000000 PA USD 1552202.61000000 0.005377623262 Long LON CORP US N 2 2024-11-29 Variable 0.05353380 N N N N N N BANCO DO BRASIL SA GRAND CAYMAN BRANCH QE0Q0253K88YAGNPE356 05959LAF0 503000.00000000 PA USD 532551.25000000 0.001845029748 Long DBT CORP KY N 2 2025-01-15 Fixed 0.04625000 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887BZ4 3969000.00000000 PA USD 4125730.89000000 0.014293640705 Long DBT CORP US N 2 2021-10-22 Fixed 0.03800000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFX2 13098000.00000000 PA USD 14307257.39000000 0.049567652874 Long DBT CORP US N 2 2026-04-19 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208KEL9 126.31810000 PA USD 143.22000000 0.000000496187 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375D3E1 42.25410000 PA USD 45.62000000 0.000000158050 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 0.07000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BLS9 2703517.62340000 PA USD 2704948.05000000 0.009371322702 Long ABS-CBDO USGA US N 2 2061-02-20 Variable 0.02224380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KLM1 175.72900000 PA USD 181.38000000 0.000000628393 Long ABS-MBS USGSE US N 2 2022-03-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128Q2KJ1 253996.61540000 PA USD 267223.46000000 0.000925798658 Long ABS-MBS USGSE US N 2 2035-03-01 Variable 0.04564000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292WQ38 191.65430000 PA USD 213.63000000 0.000000740123 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213UKZ2 147.28820000 PA USD 168.97000000 0.000000585398 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBH89 41520.08890000 PA USD 43695.26000000 0.000151382715 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PBJV7 410.83640000 PA USD 414.62000000 0.000001436455 Long ABS-MBS USGSE US N 2 2020-10-01 Fixed 0.05500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAT1 2041000.00000000 PA USD 2102593.26000000 0.007284457811 Long DBT CORP US N 2 2023-09-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GDGH9 171587.46770000 PA USD 189860.49000000 0.000657773786 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGF41 10953614.73600000 PA USD 11864219.40000000 0.041103720497 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.04000000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAE3 4563000.00000000 PA USD 5124797.38000000 0.017754917707 Long DBT CORP US N 2 2048-06-15 Fixed 0.06000000 N N N N N N EGYPT, (ARAB) REP OF 529900GFIVH4086NMH82 038461AK5 5337000.00000000 PA USD 5520459.38000000 0.019125693121 Long DBT NUSS EG N 2 2022-01-31 Fixed 0.06125000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JNMF1 242816.31000000 PA USD 263126.07000000 0.000911603205 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EHKF8 1114357.70060000 PA USD 1211602.91000000 0.004197611801 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N COMM 2005-LP5 N/A 20047PAP2 293902.60160000 PA USD 296537.12000000 0.001027356161 Long ABS-MBS CORP US N 2 2043-05-10 Variable 0.06033492 N N N N N N IMPERIAL TOBACCO FINANCE 2138008L3B3MCG1DFS50 45262BAB9 12260000.00000000 PA USD 12868129.47000000 0.044581778137 Long DBT CORP GB N 2 2026-07-26 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AA4A0 3309607.71080000 PA USD 3331933.99000000 0.011543522487 Long ABS-CBDO USGSE US N 2 2043-01-25 Fixed 0.01750000 N N N N N N TURK SISE VE CAM FABRIKALARI 789000KWOK751Q6R8875 90016AAB6 625000.00000000 PA USD 655273.44000000 0.002270202144 Long DBT CORP TR N 2 2026-03-14 Fixed 0.06950000 N N N N N N BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA N/A 09228YAA0 4343875.13700000 PA USD 4324102.25000000 0.014980900495 Long ABS-CBDO CORP KY N 2 2041-12-16 Variable 0.02487000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31294LP23 20511.64640000 PA USD 21119.10000000 0.000073167357 Long ABS-MBS USGSE US N 2 2021-12-01 Fixed 0.06000000 N N N N N N CENTURYLINK INC 8M3THTGWLTYZVE6BBY25 156700BB1 8750000.00000000 PA USD 8815625.00000000 0.030541831181 Long DBT CORP US N 2 2026-12-15 Fixed 0.05125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208KAW9 1229.90710000 PA USD 1401.55000000 0.000004855685 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.08000000 N N N N N N IMT TR 2017-APTS N/A 44974AAQ0 206054.57000000 PA USD 206054.55000000 0.000713878287 Long ABS-MBS CORP US N 2 2034-06-15 Variable 0.04508500 N N N N N N COMPUWARE CORP 549300P6GJJ3KGIE0O54 20563WAL0 2317500.46000000 PA USD 2317500.46000000 0.008029006203 Long LON CORP US N 2 2025-08-23 Variable 0.05603380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210Y3B9 136.95610000 PA USD 157.24000000 0.000000544759 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DNL1 563.81580000 PA USD 647.03000000 0.000002241642 Long ABS-MBS USGA US N 2 2031-06-20 Fixed 0.06500000 N N N N N N PRIME SECURITY SERVICES BORROWER LLC 549300O6QPZVWXV2DC15 03765VAJ9 997500.00000000 PA USD 968821.88000000 0.003356494213 Long LON CORP US N 2 2026-09-23 Variable 0.04911880 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFH7 25822000.00000000 PA USD 28346477.76000000 0.098206688503 Long DBT CORP US N 2 2024-08-26 Fixed 0.04200000 N N N N N N ASP CHROMAFLO DUTCH I BV 5493008HKRD0MRFY1H27 00215KAF3 635743.62000000 PA USD 618260.67000000 0.002141970990 Long LON CORP NL N 2 2023-11-18 Variable 0.05103380 N N N N N N GS MORTGAGE SECURITIES CORPORATION II N/A 36192BAN7 1117000.00000000 PA USD 1063350.83000000 0.003683990815 Long ABS-MBS CORP US N 2 2045-01-10 Variable 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31394YPA6 181030.70340000 PA USD 199831.67000000 0.000692319050 Long ABS-CBDO USGSE US N 2 2034-05-15 Fixed 0.06000000 N N N N N N ECUADOR, REP OF 5299003Y2U5XK0A35H71 N/A 475000.00000000 PA USD 470546.88000000 0.001630214916 Long DBT NUSS EC N 2 2020-03-24 Fixed 0.10500000 N N N N N N GEORGIA BK JT STK CO 549300RPLD8RXL49Z691 N/A 300000.00000000 PA USD 322312.50000000 0.001116655252 Long EP CORP GE N 2 N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NAL2 6125000.00000000 PA USD 6170937.50000000 0.021379281827 Long DBT CORP US N 2 2023-05-15 Fixed 0.04625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RWU4 1248.23540000 PA USD 1398.11000000 0.000004843767 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N MOTEL 6 TR 2017-MTL6 N/A 61975FAQ2 2831838.48020000 PA USD 2842621.55000000 0.009848294079 Long ABS-MBS CORP US N 2 2034-08-15 Variable 0.05908500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31414AHA3 20052.97610000 PA USD 23889.07000000 0.000082763949 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 0.06000000 N N N N N N MERRILL LYNCH and CO INC DWW559HN8WVTCCS4VJ94 N/A 780000.00000000 PA 1071930.85000000 0.003713716390 Long DBT CORP US N 2 2021-11-22 Fixed 0.05500000 N N N N N N BX COML MTG TR 2018-BIOA N/A 056057AQ5 613000.00000000 PA USD 613763.43000000 0.002126390251 Long ABS-MBS CORP US N 2 2037-03-15 Variable 0.04129550 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291FBJ6 997.53660000 PA USD 1128.01000000 0.000003908003 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291H3Y8 660.47280000 PA USD 765.77000000 0.000002653018 Long ABS-MBS USGA US N 2 2034-08-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3129462H8 21434.94390000 PA USD 23717.63000000 0.000082169993 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PAL2 3316000.00000000 PA USD 3549787.45000000 0.012298278230 Long DBT CORP US N 2 2023-05-01 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203KPJ7 296.62460000 PA USD 316.59000000 0.000001096829 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207WGS7 2020.96090000 PA USD 2314.51000000 0.000008018645 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MRK67 2129098.09000000 PA USD 2203563.30000000 0.007634269641 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208WZ97 2106.42330000 PA USD 2366.11000000 0.000008197414 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N WELLS FARGO COML MTG TR 2012-LC5 N/A 94988HAT8 252000.00000000 PA USD 241382.69000000 0.000836273022 Long ABS-MBS CORP US N 2 2045-10-15 Variable 0.04759707 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBN33 52972.96800000 PA USD 55748.14000000 0.000193140053 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N AMERICAN ROCK SALT CO LLC 549300FBKBNV4GSVVR46 02932JAM9 1838773.07000000 PA USD 1811191.47000000 0.006274893057 Long LON CORP US N 2 2025-03-21 Variable 0.05103380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQDM1 3390766.18330000 PA USD 3785441.53000000 0.013114704420 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206EK53 108.55320000 PA USD 115.11000000 0.000000398799 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NLE6 735493.10800000 PA USD 790333.39000000 0.002738118848 Long ABS-MBS USGA US N 2 2043-08-20 Fixed 0.04000000 N N N N N N ESAL GMBH 529900RVHZ2M1RC3JM20 29605YAA1 268000.00000000 PA USD 269007.68000000 0.000931980109 Long DBT CORP AT N 2 2023-02-05 Fixed 0.06250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203LDS8 731.24160000 PA USD 777.94000000 0.000002695181 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N SOUTHWESTERN ENERGY CO EFWMP121W54QV9MGOP87 845467AL3 21859000.00000000 PA USD 16175660.00000000 0.056040754565 Long DBT CORP US N 2 2025-01-23 Variable 0.06200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31370FQL0 99.24770000 PA USD 106.21000000 0.000000367965 Long ABS-MBS USGSE US N 2 2023-08-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617M76W3 628400.89600000 PA USD 671735.55000000 0.002327235308 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N BX 2020-BXLP N/A 05607QAR9 18197000.00000000 PA USD 18248395.61000000 0.063221770215 Long ABS-MBS CORP US N 2 2029-12-15 Variable 0.02908500 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAN8 8282000.00000000 PA USD 8641640.55000000 0.029939060113 Long DBT CORP US N 2 2023-01-23 Fixed 0.03125000 N N N N N N GS MTG SECS TR 2012-GCJ9 N/A 36192PAN6 896000.00000000 PA USD 874337.23000000 0.003029151089 Long ABS-MBS CORP US N 2 2045-11-10 Variable 0.04741787 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MFQ35 5027952.48100000 PA USD 5224390.56000000 0.018099959391 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335APZ5 10579590.24000000 PA USD 11398502.36000000 0.039490238616 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.03500000 N N N N N N KESTREL BIDCO INC 5493004LHNGMD0JHE251 N/A 3665000.00000000 PA USD 3523897.50000000 0.012208582210 Long LON CORP CA N 2 2026-12-11 Variable 0.04652750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411VFU8 14767.31740000 PA USD 17702.73000000 0.000061331305 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A7ZY4 22441.92020000 PA USD 24355.33000000 0.000084379312 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389FXP2 3192.10640000 PA USD 3722.97000000 0.000012898271 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARR94 22803.73180000 PA USD 24747.99000000 0.000085739687 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.04000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DD4 21425000.00000000 PA USD 27222385.18000000 0.094312257216 Long DBT CORP US N 2 2031-05-01 Fixed 0.07500000 N N N N N N ALPHA BANK SA 5299009N55YRQC69CN08 N/A 1350000.00000000 PA 1353740.54000000 0.004690049206 Long DBT CORP GR N 2 2030-02-13 Variable 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FRU8 234.15030000 PA USD 264.38000000 0.000000915947 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224JE57 89.75640000 PA USD 94.24000000 0.000000326495 Long ABS-MBS USGA US N 2 2022-08-15 Fixed 0.08000000 N N N N N N HUDSON YDS 2019-55HY MTG TR N/A 44421MAN0 693000.00000000 PA USD 656915.21000000 0.002275890075 Long ABS-MBS CORP US N 2 2041-12-10 Variable 0.02942800 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46625HHZ6 4382000.00000000 PA USD 4543561.05000000 0.015741217956 Long DBT CORP US N 2 2021-05-10 Fixed 0.04625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378E7F9 187.67200000 PA USD 215.19000000 0.000000745528 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375NPP0 7373.90990000 PA USD 8243.58000000 0.000028559974 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203MU24 532.73050000 PA USD 605.26000000 0.000002096930 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GCS7 3529000.00000000 PA USD 3529070.58000000 0.012226504403 Long DBT CORP US N 2 2024-07-15 Fixed 0.04625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224QC95 150.71160000 PA USD 156.71000000 0.000000542923 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07000000 N N N N N N PARSLEY ENERGY LLC / PARSLEY FINANCE CORP N/A 701885AF2 456000.00000000 PA USD 451440.00000000 0.001564018917 Long DBT CORP US N 2 2025-08-15 Fixed 0.05250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36181D5V4 11676.74350000 PA USD 12411.88000000 0.000043001096 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AVP2 629.77710000 PA USD 710.29000000 0.000002460807 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.08000000 N N N N N N HOME PARTNERS AMER 2019-2 TR N/A 43732TAL5 965004.48000000 PA USD 966887.20000000 0.003349791493 Long ABS-CBDO CORP US N 2 2039-10-19 Fixed 0.03866000 N N N N N N IHEARTCOMMUNICATIONS INC 54930076J6KDZL504O62 45174HBD8 142088.00000000 PA USD 154300.46000000 0.000534575665 Long DBT CORP US N 2 2027-05-01 Fixed 0.08375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411VFZ7 1500.21740000 PA USD 1550.40000000 0.000005371378 Long ABS-MBS USGSE US N 2 2022-04-01 Fixed 0.05500000 N N N N N N JPMDB COML MTG SECS TR 2017-C7 N/A 46648KAC0 602000.00000000 PA USD 546010.09000000 0.001891658049 Long ABS-MBS CORP US N 2 2050-10-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HHT62 818615.30400000 PA USD 879035.91000000 0.003045429718 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04500000 N N N N N N BANK 2019-BNK19 N/A 06540WAL7 483000.00000000 PA USD 430747.22000000 0.001492328550 Long ABS-MBS CORP US N 2 2061-08-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138APD47 11380.17960000 PA USD 11956.63000000 0.000041423878 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J6GR2 14620366.88100000 PA USD 15520547.26000000 0.053771109167 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212BQD8 1093.68540000 PA USD 1269.34000000 0.000004397642 Long ABS-MBS USGA US N 2 2031-04-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128JRTD8 21003.61280000 PA USD 22082.01000000 0.000076503370 Long ABS-MBS USGSE US N 2 2037-04-01 Variable 0.03890000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417DU68 1308439.41490000 PA USD 1386574.58000000 0.004803803104 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396VYS1 82356.27590000 PA USD 17937.73000000 0.000062145465 Long ABS-CBDO USGSE US N 2 2037-05-25 Variable 0.04813250 N N N N N N BRAND INDUSTRIAL SERVICES INC 549300B658W2BPDQMW42 10524PAB6 2450000.00000000 PA USD 2382625.00000000 0.008254630898 Long DBT CORP US N 2 2025-07-15 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213XAB0 1016.67780000 PA USD 1182.60000000 0.000004097130 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBKD9 8654267.68400000 PA USD 9300700.80000000 0.032222381703 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04000000 N N N N N N VERDE CDO LTD N/A 92338BAC9 21084000.00000000 PA USD 21084000.00000000 0.073045753265 Long ABS-CBDO CORP KY N 2 2032-04-15 Variable 0.03181250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E9CL8 749484.50100000 PA USD 807809.61000000 0.002798665407 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04000000 N N N N N N BASS PRO SHOPS LLC N/A 07014QAK7 29124786.30000000 PA USD 27814170.92000000 0.096362505516 Long LON CORP US N 2 2024-09-25 Variable 0.06603380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203KJ88 356.46180000 PA USD 384.05000000 0.000001330545 Long ABS-MBS USGA US N 2 2024-01-15 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137BYKR0 4061505.79800000 PA USD 4226532.09000000 0.014642867587 Long ABS-CBDO USGSE US N 2 2047-05-15 Fixed 0.03000000 N N N N N N LTF MERGER SUB INC N/A 50218KAD0 3269032.27000000 PA USD 3216727.75000000 0.011144389183 Long LON CORP US N 2 2022-06-10 Variable 0.04363220 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PBH64 167.91060000 PA USD 169.22000000 0.000000586264 Long ABS-MBS USGSE US N 2 2020-10-01 Fixed 0.05500000 N N N N N N AVOLON HLDGS FDG LTD 635400ZRKEX9L1BKCH30 05401AAG6 8768000.00000000 PA USD 9335680.13000000 0.032343567982 Long DBT CORP KY N 2 2026-05-01 Fixed 0.04375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EFE4 25659.48910000 PA USD 27898.68000000 0.000096655288 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378XP75 683.35950000 PA USD 785.24000000 0.000002720472 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07500000 N N N N N N PUGET ENERGY INC NEW SYBSJ96YIDMIUY7WDR33 745310AD4 9916000.00000000 PA USD 10584231.51000000 0.036669188170 Long DBT CORP US N 2 2021-09-01 Fixed 0.06000000 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 455780BU9 2450000.00000000 PA USD 3060203.13000000 0.010602107891 Long DBT NUSS ID N 2 2045-01-15 Fixed 0.05125000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QBW1 22915000.00000000 PA USD 22536902.50000000 0.078079350188 Long DBT CORP MX N 2 2026-01-23 Fixed 0.04500000 N N N N N N CBOM FIN PLC 2534000R9X3PNNE57C55 12504PAF7 608000.00000000 PA USD 623200.00000000 0.002159083353 Long DBT CORP IE N 2 2023-02-14 Fixed 0.05550000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M3AY3 1109892.49610000 PA USD 1214172.45000000 0.004206514001 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H7A80 1534872.24700000 PA USD 1640886.33000000 0.005684869000 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204QCL2 207.54640000 PA USD 221.87000000 0.000000768671 Long ABS-MBS USGA US N 2 2024-01-15 Fixed 0.07500000 N N N N N N REFINITIV US HOLDINGS INC 549300NF240HXJO7N016 31740MAC5 9525641.75000000 PA USD 9497826.88000000 0.032905327207 Long LON CORP US N 2 2025-10-01 Variable 0.04853380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375DCY7 1628.50700000 PA USD 1799.34000000 0.000006233833 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203CHL9 88.13170000 PA USD 93.30000000 0.000000323238 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 0.07500000 N N N N N N AVANTOR INC 5493003VM0XB4U8YD238 05352AAA8 1863000.00000000 PA USD 1955367.54000000 0.006774392661 Long DBT CORP US N 2 2024-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HHHN8 1705012.29500000 PA USD 1835565.60000000 0.006359337503 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N TURKEY REPUBLIC OF 5493000PCHOG3B6S3Q85 900123CR9 1744000.00000000 PA USD 1848095.00000000 0.006402745749 Long DBT NUSS TR N 2 2023-12-23 Fixed 0.07250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A3LC9 8839.07420000 PA USD 9609.04000000 0.000033290626 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV 549300HSQCIKJAOYIT23 N/A 2100000.00000000 PA 2121239.92000000 0.007349059372 Long DBT CORP NL N 2 2023-03-31 Fixed 0.01250000 N N N N N N BTA BANK JSC N/A 05574YAD2 1325388.55000000 PA USD 1333672.23000000 0.004620522322 Long DBT CORP KZ N 2 2022-12-21 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2HM7 2391040.82720000 PA USD 2541573.82000000 0.008805310859 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36196HN89 279815.72820000 PA USD 298076.61000000 0.001032689741 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RST1 353988.45040000 PA USD 385828.97000000 0.001336708771 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N NATIXIS COML MTG SECS TR 2019-10K N/A 63874UAN4 1374000.00000000 PA USD 1375095.90000000 0.004764035089 Long ABS-MBS CORP US N 2 2039-05-15 Variable 0.04134600 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394D4V9 425727.14260000 PA USD 91912.70000000 0.000318432574 Long ABS-CBDO USGSE US N 2 2035-06-25 Variable 0.05093250 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FGD2 126711.95740000 PA USD 138861.40000000 0.000481086869 Long ABS-MBS USGA US N 2 2040-05-20 Fixed 0.04500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828Z78 369336000.00000000 PA USD 380502644.97000000 1.318255659328 Long DBT UST US N 2 2027-01-31 Fixed 0.01500000 N N N N N N SG COML MTG SECS TR 2019-PRES N/A 78430EAN5 814000.00000000 PA USD 780858.23000000 0.002705292051 Long ABS-MBS CORP US N 2 2039-09-15 Variable 0.03592900 N N N N N N COLONY CAPITAL INC 549300XG87L902AGBO89 19626G603 30500.00000000 NS USD 674660.00000000 0.002337367098 Long EP CORP US N 1 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QRRK8 336694.71860000 PA USD 362962.80000000 0.001257488670 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WML58 1042539.77950000 PA USD 1124992.90000000 0.003897550455 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N TERRA-GEN FINANCE COMPANY LLC 5493003XWIZFKFQXIA30 88100JAH5 1384449.17000000 PA USD 1342915.69000000 0.004652546392 Long LON CORP US N 2 2021-12-09 Variable 0.05860000 N N N N N N WELLS FARGO COML MTG TR 2010-C N/A 94987MAD3 15792847.63460000 PA USD 43326.10000000 0.000150103756 Long ABS-MBS CORP US N 2 2043-11-15 Variable 0.00586651 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KPZ2 9476.76860000 PA USD 10303.77000000 0.000035697526 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194PRG1 94625.95600000 PA USD 101328.80000000 0.000351054758 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XTHA9 130602.54700000 PA USD 140832.64000000 0.000487916252 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARQ38 26004.10780000 PA USD 28966.02000000 0.000100353099 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 0.05000000 N N N N N N BBCMS TR 2015-STP N/A 05547GAJ2 2007000.00000000 PA USD 2007562.76000000 0.006955223583 Long ABS-MBS CORP US N 2 2028-09-10 Variable 0.04284350 N N N N N N TTM TECHNOLOGIES INC 549300SC4BDOIS008048 87305RAH2 12935000.00000000 PA USD 13193700.00000000 0.045709720871 Long DBT CORP US N 2 2025-10-01 Fixed 0.05625000 N N N N N N JPMDB COML MTG SECS TR 2019 N/A 48129RAE5 1092000.00000000 PA USD 952183.60000000 0.003298850707 Long ABS-MBS CORP US N 2 2052-11-13 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCB39 14532599.48000000 PA USD 15436726.26000000 0.053480710378 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411RCT3 13692.36390000 PA USD 14040.65000000 0.000048643988 Long ABS-MBS USGSE US N 2 2022-03-01 Fixed 0.05500000 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NAY5 793000.00000000 PA USD 898469.00000000 0.003112755876 Long DBT CORP NL N 2 2028-01-27 Fixed 0.05999000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230MGS0 26197.04510000 PA USD 28847.86000000 0.000099943732 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200FWH7 734.77590000 PA USD 854.69000000 0.000002961083 Long ABS-MBS USGA US N 2 2033-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409VAB9 520.69040000 PA USD 529.34000000 0.000001833904 Long ABS-MBS USGSE US N 2 2021-02-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AXJ2 305855.02020000 PA USD 317956.69000000 0.001101564500 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 0.03000000 N N N N N N CCO HLDGS LLC/CCO HLDGS CAP CORP N/A 1248EPBR3 7769000.00000000 PA USD 8061114.40000000 0.027927820788 Long DBT CORP US N 2 2026-05-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410G4C4 92200.41660000 PA USD 109668.13000000 0.000379946460 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208LBN6 647.27550000 PA USD 732.32000000 0.000002537130 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206TP71 428.45480000 PA USD 474.56000000 0.000001644118 Long ABS-MBS USGA US N 2 2025-12-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31356N2D5 116.15240000 PA USD 126.41000000 0.000000437948 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HC42 1917273.14420000 PA USD 2084285.85000000 0.007221031584 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209KRY6 309.97530000 PA USD 346.52000000 0.000001200522 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N UBER TECHNOLOGIES INC 549300B2FTG34FILDR98 90351JAE4 3661467.96500000 PA USD 3622107.18000000 0.012548830742 Long LON CORP US N 2 2023-07-13 Variable 0.05103380 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UGTL1 35614.62380000 PA USD 37276.95000000 0.000129146409 Long ABS-MBS USGSE US N 2 2041-05-01 Variable 0.04785000 N N N N N N OMAN SULTANATE 549300SZ20F0QTKNQC75 682051AJ6 569000.00000000 PA USD 536638.13000000 0.001859188789 Long DBT NUSS OM N 2 2048-01-17 Fixed 0.06750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406YZX1 6675.75000000 PA USD 7859.06000000 0.000027227801 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207Y4T4 846.79670000 PA USD 965.03000000 0.000003343357 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AMF2 200017.67470000 PA USD 207806.70000000 0.000719948630 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.03000000 N N N N N N CAESARS RESORT COLLECTION LLC / CRC FINCO INC N/A 12652AAA1 10264000.00000000 PA USD 10079453.28000000 0.034920378359 Long DBT CORP US N 2 2025-10-15 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X3EE8 523014.00530000 PA USD 540979.54000000 0.001874229652 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.02500000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2011-C3 N/A 46635TBR2 106000.00000000 PA USD 58201.59000000 0.000201640057 Long ABS-MBS CORP US N 3 2046-02-15 Variable 0.04409000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MNY9 5701.44390000 PA USD 6184.56000000 0.000021426477 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J9GM4 250728.99390000 PA USD 263864.31000000 0.000914160846 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A83N1 8577.14990000 PA USD 9578.22000000 0.000033183850 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403DKD0 3.19780000 PA USD 3.21000000 0.000000011121 Long ABS-MBS USGSE US N 2 2021-01-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HKF9 1859.62580000 PA USD 2102.60000000 0.000007284481 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07000000 N N N N N N ANHEUSER-BUSCH INBEV FIN INC 5493000EYEKDT0FBSQ91 035242AM8 23011000.00000000 PA USD 27035340.63000000 0.093664239285 Long DBT CORP US N 2 2036-02-01 Fixed 0.04700000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31396JG74 59182.24600000 PA USD 55323.92000000 0.000191670338 Long ABS-CBDO USGSE US N 2 2036-03-15 Fixed 0.00000000 N N N N N N PERRIGO FINANCE PLC 549300E86RB6YCTMRM83 714295AB8 982000.00000000 PA USD 1005630.86000000 0.003484019335 Long DBT CORP IE N 2 2021-12-15 Fixed 0.03500000 N N N N N N REYNOLDS CONSUMER PRODUCTS LLC 549300DWNZYMOSR1X343 76171JAB7 4625000.00000000 PA USD 4567187.50000000 0.015823072056 Long LON CORP US N 2 2027-01-30 Variable 0.03501130 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224DDP7 36.36400000 PA USD 37.53000000 0.000000130023 Long ABS-MBS USGA US N 2 2022-04-15 Fixed 0.07500000 N N N N N N COSTA RICA REPUBLIC OF N/A 221597BR7 1215000.00000000 PA USD 1211962.50000000 0.004198857604 Long DBT NUSS CR N 2 2023-01-26 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210EFB0 711106.86210000 PA USD 771069.45000000 0.002671378713 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.04000000 N N N N N N TURKEY REPUBLIC OF 5493000PCHOG3B6S3Q85 900123CV0 755000.00000000 PA USD 775054.69000000 0.002685185621 Long DBT NUSS TR N 2 2024-08-10 Fixed 0.06350000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230SJ88 231271.08820000 PA USD 245903.52000000 0.000851935488 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.03500000 N N N N N N VTR FINANCE BV 213800F4XI4RJB82XM19 918370AB3 3774000.00000000 PA USD 3850069.88000000 0.013338610060 Long DBT CORP NL N 2 2024-01-15 Fixed 0.06875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GH58 28772.88390000 PA USD 30500.09000000 0.000105667902 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N MH SUB I LLC N/A 45567YAJ4 1245078.30000000 PA USD 1211361.58000000 0.004196775710 Long LON CORP US N 2 2024-09-15 Variable 0.05353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138APXP8 44758.99130000 PA USD 48622.95000000 0.000168454752 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223RE50 17.11390000 PA USD 17.86000000 0.000000061876 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07000000 N N N N N N CSMC 2018-SITX N/A 12656DAL7 952000.00000000 PA USD 921336.56000000 0.003191980792 Long ABS-MBS CORP US N 2 2041-12-15 Variable 0.03392770 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402K4M3 86838.79950000 PA USD 95065.36000000 0.000329355000 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C6NA9 25090.86660000 PA USD 27206.60000000 0.000094257569 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M5PK2 101599.82730000 PA USD 109970.89000000 0.000380995375 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04000000 N N N N N N EL PASO CORP N/A 28336LBV0 10282000.00000000 PA USD 10541334.56000000 0.036520571208 Long DBT CORP US N 2 2020-09-15 Fixed 0.06500000 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 455780BW5 985000.00000000 PA USD 1363301.56000000 0.004723173466 Long DBT NUSS ID N 2 2046-01-08 Fixed 0.05950000 N N N N N N WFRBS COML MTG TR 2011-C3 N/A 92935VAU2 733000.00000000 PA USD 219900.00000000 0.000761846003 Long ABS-MBS CORP US N 2 2044-03-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A7FW3 3182421.48200000 PA USD 3520739.30000000 0.012197640590 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N CHENIERE ENERGY PARTNERS LP 5493005UEC8AZ34LDV29 16411QAB7 19337000.00000000 PA USD 19385729.24000000 0.067162075267 Long DBT CORP US N 2 2025-10-01 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31365DVM4 431.66340000 PA USD 455.75000000 0.000001578950 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AFB90 12164.86700000 PA USD 13533.93000000 0.000046888451 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HDEG5 56512.45300000 PA USD 60771.84000000 0.000210544717 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04500000 N N N N N N MPT OPER PARTNERSHIP LP / MPT FIN CORP N/A 55342UAG9 3615000.00000000 PA USD 3760883.33000000 0.013029622262 Long DBT CORP US N 2 2026-08-01 Fixed 0.05250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293PFU4 136.29340000 PA USD 150.02000000 0.000000519745 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 0.06000000 N N N N N N INGERSOLL-RAND SERVICES CO N/A 365556AU3 2930000.00000000 PA USD 2882387.50000000 0.009986063656 Long LON CORP US N 2 2027-02-28 Variable 0.00000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128CUKL9 32597.71000000 PA USD 36149.55000000 0.000125240519 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07000000 N N N N N N SRI LANKA GOVT DEMOCRATIC SOCIALIST REP 254900HXCCIOHM74FA02 85227SAH9 1584000.00000000 PA USD 1597860.00000000 0.005535803799 Long DBT NUSS LK N 2 2020-10-04 Fixed 0.06250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406BTH3 5386.65050000 PA USD 5928.92000000 0.000020540809 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQD66 418526.92270000 PA USD 451184.54000000 0.001563133873 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP 549300ZWL4J1LYMOWK56 91740PAC2 3685000.00000000 PA USD 3565606.00000000 0.012353081773 Long DBT CORP US N 2 2026-04-01 Fixed 0.06875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMWQ2 408760.59100000 PA USD 421182.21000000 0.001459190466 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.02500000 N N N N N N EG AMERICA LLC 549300BY1CRYVPEG9R57 N/A 427909.76000000 PA USD 417212.02000000 0.001445435698 Long LON CORP US N 2 2026-03-23 Variable 0.09960500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371YEX5 60.31800000 PA USD 64.16000000 0.000000222283 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31415LCG0 4407.45430000 PA USD 4997.14000000 0.000017312647 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207ULR7 67.93350000 PA USD 76.38000000 0.000000264619 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31397BQR5 109166.57120000 PA USD 101562.08000000 0.000351862959 Long ABS-CBDO USGSE US N 2 2036-10-15 Fixed 0.00000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31393P4T8 15044.01960000 PA USD 15791.60000000 0.000054710174 Long ABS-CBDO USGSE US N 2 2023-04-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CNG5 12032311.69600000 PA USD 12500870.37000000 0.043309404887 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208WHG1 616.36850000 PA USD 699.25000000 0.000002422559 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07000000 N N N N N N BANK 2019-BNK22 N/A 06540XAN1 693000.00000000 PA USD 593607.93000000 0.002056561297 Long ABS-MBS CORP US N 2 2062-11-15 Fixed 0.02500000 N N N N N N VIPER ENERGY PARTNERS LP 5299009LINL232255G03 92763MAA3 6915000.00000000 PA USD 7027714.50000000 0.024347595303 Long DBT CORP US N 2 2027-11-01 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GSRR5 63196021.05500000 PA USD 67264757.84000000 0.233039504109 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04000000 N N N N N N PETCO ANIMAL SUPPLIES INC EQFF4O0CK09VES3JAH16 71579UAF2 2300732.99500000 PA USD 1820869.11000000 0.006308421349 Long LON CORP US N 2 2023-01-26 Variable 0.05027130 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAS0 5210000.00000000 PA USD 5518267.16000000 0.019118098151 Long DBT CORP DK N 2 2022-01-12 Fixed 0.05000000 N N N N N N DUKE ENERGY FIELD SVCS LLC N/A 26439XAH6 8754000.00000000 PA USD 8950965.00000000 0.031010718121 Long DBT CORP US N 2 2036-11-03 Fixed 0.06450000 N N N N N N CTR PARTNERSHIP LP / CARETRUST CAP CORP N/A 126458AD0 3260000.00000000 PA USD 3390400.00000000 0.011746078631 Long DBT CORP US N 2 2025-06-01 Fixed 0.05250000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128286X3 498913000.00000000 PA USD 532355762.03000000 1.844352477833 Long DBT UST US N 2 2026-05-31 Fixed 0.02125000 N N N N N N AMERADA HESS CORP N/A 023551AM6 3656000.00000000 PA USD 4634757.23000000 0.016057168140 Long DBT CORP US N 2 2033-03-15 Fixed 0.07125000 N N N N N N TEVA PHARMACEUTICAL FIN CO BV 549300Q840R30TDKVK53 88165FAG7 669000.00000000 PA USD 642373.80000000 0.002225511198 Long DBT CORP CW N 2 2022-12-18 Fixed 0.02950000 N N N N N N GS MTG SECS CORP TR 2019 5493005BBCF84ICNQ550 36257UAA5 408000.00000000 PA USD 376690.77000000 0.001305049375 Long ABS-MBS CORP US N 2 2052-09-01 Fixed 0.02800000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208T4W7 168.56760000 PA USD 189.88000000 0.000000657841 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N COMM 2013-LC6 MTG TR N/A 20048EAG6 959000.00000000 PA USD 891191.99000000 0.003087544593 Long ABS-MBS CORP US N 2 2046-01-10 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31381C5S2 5909.33350000 PA USD 6555.20000000 0.000022710563 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.07500000 N N N N N N WELLS FARGO COML MTG TR 2016-NXS6 549300CFP9NBBMZH1008 95000KAJ4 1337000.00000000 PA USD 1244268.22000000 0.004310781132 Long ABS-MBS CORP US N 2 2049-11-15 Fixed 0.03059000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M6XR6 34747.35540000 PA USD 38002.54000000 0.000131660223 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209DD35 1350.08670000 PA USD 1540.14000000 0.000005335832 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07500000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46625HJZ4 20651000.00000000 PA USD 23235806.58000000 0.080500711172 Long DBT CORP US N 2 2026-12-15 Fixed 0.04125000 N N N N N N GS MTG SECS CORP TR 2019-70P N/A 36257MAS4 1080000.00000000 PA USD 1084056.16000000 0.003755724662 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.04308500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410KCG7 297363.69320000 PA USD 352220.60000000 0.001220272198 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MVR8 9316932.43350000 PA USD 9788304.00000000 0.033911688430 Long ABS-MBS USGA US N 2 2042-12-20 Fixed 0.03000000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 9400000.00000000 NC -278333.30000000 -0.00096428882 N/A DCR CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 AKZO NOBEL NV AKZO NOBEL NV 1.75% 11/07/2024 REGS Y 2024-06-20 0.00000000 EUR 269259.91000000 EUR 9400000.00000000 EUR -11674.61000000 N N N CHICAGO BOARD OF TRADE N/A N/A 206.00000000 NC USD 1131146.19000000 0.003918868597 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES $US 10YR NOTE ULTRA FUT CONTRACT UNDERLYING 2020-06-19 29813916.31000000 USD 1131146.19000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 3133KGF37 288134.06400000 PA USD 307689.95000000 0.001065995265 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HJA2 272.16990000 PA USD 292.13000000 0.000001012087 Long ABS-MBS USGSE US N 2 2024-02-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176TLV8 117217.50840000 PA USD 127028.37000000 0.000440091205 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212VS59 2840.03590000 PA USD 3288.55000000 0.000011393218 Long ABS-MBS USGA US N 2 2031-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XWXB9 333524.42010000 PA USD 367724.78000000 0.001273986603 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416TBZ1 6638.14540000 PA USD 7356.28000000 0.000025485914 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A1S69 7303.10010000 PA USD 8024.34000000 0.000027800415 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N BRANDYWINE OPER PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AM5 18541000.00000000 PA USD 19686851.78000000 0.068205317667 Long DBT CORP US N 2 2023-02-15 Fixed 0.03950000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AETE0 25129.34590000 PA USD 27703.53000000 0.000095979188 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204BQZ9 1285.56200000 PA USD 1405.55000000 0.000004869543 Long ABS-MBS USGA US N 2 2024-06-15 Fixed 0.07500000 N N N N N N METLIFE INC C4BXATY60WC6XEOZDX54 59156RBF4 7921000.00000000 PA USD 8259107.25000000 0.028613769226 Long DBT CORP US N 2 2022-12-15 Variable 0.03048000 N N N N N N CABLEVISION SYSTEMS CORP N/A 12686CBB4 1988000.00000000 PA USD 2087698.20000000 0.007232853709 Long DBT CORP US N 2 2022-09-15 Fixed 0.05875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371M7A9 3658.04720000 PA USD 4033.34000000 0.000013973551 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07000000 N N N N N N MARRIOTT OWNERSHIP RESORTS INC BW4532OH033VURR0IT68 57164PAD8 1395000.00000000 PA USD 1395000.00000000 0.004832993066 Long DBT CORP US N 2 2028-01-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383LTP0 302.10990000 PA USD 337.29000000 0.000001168544 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07000000 N N N N N N ASP CHROMAFLO INTERMEDIATE HOLDINGS INC 549300NWZNE7GRQDIF14 00215KAK2 161798.18000000 PA USD 159371.21000000 0.000552143335 Long LON CORP US N 2 2023-11-18 Variable 0.05853380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416NHS4 68067.79340000 PA USD 74007.78000000 0.000256400779 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378KST2 2269.58970000 PA USD 2420.46000000 0.000008385710 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204NUL9 144.54160000 PA USD 158.51000000 0.000000549159 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.07000000 N N N N N N MADISON PK FDG X LTD/LLC N/A 55818HBE7 8925000.00000000 PA USD 8920537.50000000 0.030905301708 Long ABS-CBDO CORP KY N 2 2029-01-20 Variable 0.03039130 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AC4G6 25009.40720000 PA USD 27928.36000000 0.000096758114 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N SBA SENIOR FINANCE II LLC 549300PVT2ADFWMYEW87 N/A 1980837.50000000 PA USD 1956077.03000000 0.006776850697 Long LON CORP US N 2 2025-04-11 Variable 0.03360000 N N N N N N CLEARWAY ENERGY OPERATING LLC 549300Z3NFMM54NWBB87 18539UAB1 2198000.00000000 PA USD 2271259.34000000 0.007868803327 Long DBT CORP US N 2 2025-10-15 Fixed 0.05750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208DL60 289.77130000 PA USD 323.82000000 0.000001121878 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J4AD1 13868460.10530000 PA USD 14655554.85000000 0.050774333311 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9GP9 470700.57390000 PA USD 497338.13000000 0.001723033500 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408DGG3 3195.76200000 PA USD 3751.75000000 0.000012997979 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209DZP2 340.15310000 PA USD 367.60000000 0.000001273554 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VC2 15546303.71000000 PA USD 16156561.43000000 0.055974587356 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.03000000 N N N N N N WYNN MACAU LIMITED 254900NMDQ8ENTHU1I31 98313RAC0 5990000.00000000 PA USD 5978259.60000000 0.020711747092 Long DBT CORP KY N 2 2024-10-01 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407HF68 7896.80670000 PA USD 9273.68000000 0.000032128767 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FE44 6314.30600000 PA USD 6776.36000000 0.000023476774 Long ABS-MBS USGA US N 2 2040-02-20 Fixed 0.03500000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAD3 11373000.00000000 PA USD 12226518.06000000 0.042358908248 Long DBT CORP US N 2 2023-08-08 Fixed 0.04200000 N N N N N N HARBOURVEST PARTNERS LP 5493001MCDH7I6NIXC24 41165QAG2 3175155.48000000 PA USD 3157311.11000000 0.010938539571 Long LON CORP US N 2 2025-03-01 Variable 0.03927250 N N N N N N 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC N/A 68245XAC3 1870000.00000000 PA USD 1871776.50000000 0.006484790570 Long DBT CORP CA N 2 2024-05-15 Fixed 0.04250000 N N N N N N CORPOARATE OFFICE PPTYS LP H0TWO5VRNEP6CQAWPX27 22003BAK2 7885000.00000000 PA USD 8811123.06000000 0.030526234160 Long DBT CORP US N 2 2025-07-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PE6B9 957.58530000 PA USD 985.96000000 0.000003415869 Long ABS-MBS USGSE US N 2 2021-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8W27 1551997.61600000 PA USD 1667517.92000000 0.005777134440 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04500000 N N N N N N BBCMS MTG TR 2020-C6 N/A 05492TAM2 628000.00000000 PA USD 522109.03000000 0.001808852560 Long ABS-MBS CORP US N 2 2053-02-15 Fixed 0.02400000 N N N N N N CAMELOT FIN S A N/A N/A 2128000.00000000 PA USD 2114040.32000000 0.007324116278 Long LON CORP LU N 2 2026-10-31 Variable 0.04895250 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25 N/A 61765TAG8 29463381.83450000 PA USD 1365065.00000000 0.004729282924 Long ABS-MBS CORP US N 2 2048-10-15 Variable 0.01092459 N N N N N N CITGO PETROLEUM CORP YX52P86PXMLYDOTUQ225 17302UAJ1 4629015.30000000 PA USD 4617442.76000000 0.015997181965 Long LON CORP US N 2 2021-07-29 Variable 0.06444630 N N N N N N CCRESG COMMERCIAL MORTGAGE TRUST 2016-HEAT N/A 12507GAN7 955000.00000000 PA USD 966393.15000000 0.003348079851 Long ABS-MBS CORP US N 2 2029-04-10 Variable 0.05488250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HV25 8846.60770000 PA USD 9787.08000000 0.000033907447 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAT3 3270000.00000000 PA USD 3676461.00000000 0.012737140158 Long DBT CORP US N 2 2028-11-15 Fixed 0.05875000 N N N N N N CASTLELAKE AIRCRAFT SECURITIZATION N/A 14856CAA7 19127525.55000000 PA USD 19672640.90000000 0.068156083914 Long ABS-CBDO CORP US N 2 2043-06-15 Fixed 0.04125000 N N N N N N YPF SOCIEDAD ANONIMA 5493003N7447U18U5U53 984245AS9 625000.00000000 PA USD 514550.81000000 0.001782667022 Long DBT CORP AR N 2 2029-06-27 Fixed 0.08500000 N N N N N N AMERICAN RENAL HLDGS INC 549300K2KYM8O9I1R885 02922XAK4 3514058.66000000 PA USD 3408636.90000000 0.011809260575 Long LON CORP US N 2 2024-06-22 Variable 0.06603380 N N N N N N TOWD PT MTG TR 2018-3 N/A 89175MAA1 16381121.46000000 PA USD 17304248.44000000 0.059950761809 Long ABS-CBDO CORP US N 2 2058-05-25 Fixed 0.03750000 N N N N N N BANCO DE BOGOT 549300LYHE7LWSKDZT53 059514AC3 275000.00000000 PA USD 308000.00000000 0.001067069436 Long DBT CORP CO N 2 2026-05-12 Fixed 0.06250000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38379WN73 3275990.06400000 PA USD 3424069.07000000 0.011862725500 Long ABS-CBDO USGA US N 2 2046-02-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230SPQ1 23036.59800000 PA USD 24979.11000000 0.000086540405 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312940M63 10604.74310000 PA USD 11747.34000000 0.000040698790 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FV86 48950.66050000 PA USD 52753.52000000 0.000182765158 Long ABS-MBS USGA US N 2 2041-08-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M1PX1 12.16660000 PA USD 12.49000000 0.000000043271 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GPBF4 110292.35300000 PA USD 119122.17000000 0.000412700087 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04500000 N N N N N N BANCO DO BRASIL SA GRAND CAYMAN BRANCH QE0Q0253K88YAGNPE356 05958AAL2 815000.00000000 PA USD 902867.19000000 0.003127993454 Long EP CORP KY N 2 N N N VORNADO DP LLC TR 2010 N/A 92903PAL3 180000.00000000 PA USD 180260.82000000 0.000624515622 Long ABS-MBS CORP US N 2 2028-09-13 Fixed 0.06355500 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BYS5 30983.88630000 PA USD 31015.54000000 0.000107453684 Long ABS-CBDO USGA US N 2 2060-07-20 Variable 0.02264380 N N N N N N THIRD PAKISTAN INTERNATIONAL SUKUK CO LTD/THE 529900OMZDJ2H3CXKF72 88429JAB2 465000.00000000 PA USD 478950.00000000 0.001659327619 Long DBT NUSS PK N 2 2022-12-05 Fixed 0.05625000 N N N N N N HCP INC PZ9HF5U52KPF0MH0QN75 40414LAQ2 2056000.00000000 PA USD 2218059.96000000 0.007684493481 Long DBT CORP US N 2 2026-07-15 Fixed 0.03250000 N N N N N N WATERBRIDGE MIDSTREAM OPERATING LLC N/A 94120XAB1 1745625.00000000 PA USD 1605975.00000000 0.005563918307 Long LON CORP US N 2 2026-06-21 Variable 0.07834000 N N N N N N HOLOGIC INC 549300DYP6F5ZJL0LB74 436440AK7 2379000.00000000 PA USD 2422892.55000000 0.008394138275 Long DBT CORP US N 2 2025-10-15 Fixed 0.04375000 N N N N N N UNITED KINGDOM,G.B. and N.IRELAND ECTRVYYCEF89VWYS6K36 N/A 1475717.00000000 PA 3526228.63000000 0.012216658435 Long DBT NUSS GB N 2 2049-12-07 Fixed 0.04250000 N N N N N N KRONOS INC 5493000E2HBSA8M27B95 50105JAM9 8296996.41000000 PA USD 8221825.62000000 0.028484606603 Long LON CORP US N 2 2023-11-01 Variable 0.04763250 N N N N N N KONDOR FINANCE PLC N/A N/A 1570000.00000000 PA USD 1635939.37000000 0.005667730201 Long DBT CORP GB N 2 2022-07-19 Fixed 0.07375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A8MT7 8173.72990000 PA USD 9135.38000000 0.000031649625 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128JPDH0 60200.02360000 PA USD 62953.87000000 0.000218104385 Long ABS-MBS USGSE US N 2 2038-04-01 Variable 0.04913000 N N N N N N STAPLES INC XQM2JINI1UL7642TU573 855031AR1 1119679.65000000 PA USD 1104004.13000000 0.003824834627 Long LON CORP US N 2 2024-09-12 Variable 0.06155000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FP75 1723900.75120000 PA USD 1887037.62000000 0.006537662890 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.04500000 N N N N N N CHESAPEAKE ENERGY CORP X2MT1W32SPAZ9WSKLE78 165167CU9 5431000.00000000 PA USD 1629300.00000000 0.005644728030 Long DBT CORP US N 2 2025-01-15 Fixed 0.08000000 N N N N N N NXP BV/NXP FDG LLC N/A 62947QAU2 1347000.00000000 PA USD 1384519.06000000 0.004796681732 Long DBT CORP NL N 2 2021-06-01 Fixed 0.04125000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TUUS5 277413.44550000 PA USD 323120.20000000 0.001119453538 Long ABS-CBDO USGSE US N 2 2031-09-15 Fixed 0.06500000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NAU2 4109000.00000000 PA USD 4215135.47000000 0.014603383870 Long DBT CORP US N 2 2025-04-15 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MFGQ4 102580.34400000 PA USD 110020.11000000 0.000381165898 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RHA3 12000000.00000000 PA USD 14887777.80000000 0.051578872313 Long DBT CORP US N 2 2046-11-15 Fixed 0.05150000 N N N N N N GS MTG SECS TR 2013-GCJ16 N/A 36248GAL4 421844.00000000 PA USD 467974.46000000 0.001621302738 Long ABS-MBS CORP US N 2 2046-11-10 Variable 0.05310678 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206HNT1 636.00290000 PA USD 721.09000000 0.000002498224 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379QBZ2 76.59400000 PA USD 84.14000000 0.000000291503 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374F5Z8 230.54480000 PA USD 254.80000000 0.000000882757 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07000000 N N N N N N DYNATRACE LLC N/A 26814UAC8 950641.70000000 PA USD 941734.19000000 0.003262648609 Long LON CORP US N 2 2025-08-23 Variable 0.03853380 N N N N N N MEDCO STRAIT SERVICES PTE LTD N/A 58406FAA2 640000.00000000 PA USD 662600.00000000 0.002295585093 Long DBT CORP SG N 2 2022-08-17 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EHJ1 128852.05510000 PA USD 142550.10000000 0.000493866412 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FCU4 559.60440000 PA USD 617.82000000 0.000002140444 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 0.07000000 N N N N N N TRAPEZA CDO XII LTD / TRAPEZA CDO XII INC 5493000R4ICCD2N68609 89413GAG3 1638999.99980000 PA USD 1188275.00000000 0.004116791996 Long ABS-CBDO CORP KY N 2 2042-04-06 Variable 0.02460250 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBHW6 213929.15340000 PA USD 231822.72000000 0.000803152400 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.04000000 N N N N N N BJS WHOLESALE CLUB INC 549300H2XDOGOSR9L398 N/A 5861118.52800000 PA USD 5805262.07000000 0.020112395219 Long LON CORP US N 2 2024-02-03 Variable 0.03902750 N N N N N N ENVIRONMENTAL RESOURCES MGMT INC N/A N/A 995000.00000000 PA USD 995995.00000000 0.003450635791 Long LON CORP US N 2 2026-07-10 Variable 0.05694630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EJB8 2169388.32450000 PA USD 2298936.17000000 0.007964690013 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N KINDER MORGAN INC DEL 549300WR7IX8XE0TBO16 49456BAH4 7786000.00000000 PA USD 9264290.21000000 0.032096236807 Long DBT CORP US N 2 2045-06-01 Fixed 0.05550000 N N N N N N AERCAP GLOBAL AVIATION TR 635400FBSV8LXXNRV758 00773HAA5 12162000.00000000 PA USD 13074150.00000000 0.045295538562 Long DBT CORP US N 2 2045-06-15 Variable 0.06500000 N N N N N N SS and C TECHNOLOGIES INC 549300KY09TR3J12JU49 78466DBE3 2701554.38600000 PA USD 2663273.36000000 0.009226940273 Long LON CORP US N 2 2025-04-16 Variable 0.03353380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RXE9 814.23790000 PA USD 925.29000000 0.000003205677 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335CA79 3403809.42800000 PA USD 3711913.75000000 0.012859966606 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378HZ38 723.84230000 PA USD 820.19000000 0.000002841557 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295WJM0 439130.49050000 PA USD 476570.93000000 0.001651085304 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128283F5 200057200.00000000 PA USD 217554390.77000000 0.753719614398 Long DBT UST US N 2 2027-11-15 Fixed 0.02250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375QQR8 182.26340000 PA USD 195.05000000 0.000000675752 Long ABS-MBS USGSE US N 2 2024-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404USF8 15953.90110000 PA USD 17503.87000000 0.000060642352 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208UWE3 291.35170000 PA USD 325.20000000 0.000001126659 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202EFL8 4638.46550000 PA USD 5100.90000000 0.000017672124 Long ABS-MBS USGA US N 2 2035-10-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HJES6 582187.98800000 PA USD 625522.16000000 0.002167128503 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04500000 N N N N N N CCO HLDGS LLC/CCO HLDGS CAP CORP N/A 1248EPBZ5 4074000.00000000 PA USD 4114740.00000000 0.014255562644 Long DBT CORP US N 2 2023-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200N4E8 3165.60130000 PA USD 3689.57000000 0.000012782556 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 0.06500000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAC7 3683000.00000000 PA USD 3945055.98000000 0.013667690463 Long DBT CORP US N 2 2023-09-15 Fixed 0.04200000 N N N N N N CORAL-US CO-BORROWER LLC N/A N/A 5465000.00000000 PA USD 5403518.75000000 0.018720551004 Long LON CORP US N 2 2028-01-31 Variable 0.03853380 N N N N N N DEUTSCHE BANK AG NEW YORK BNCH 7LTWFZYICNSX8D621K86 251526BP3 18290000.00000000 PA USD 18455852.26000000 0.063940506093 Long DBT CORP US N 2 2021-01-22 Fixed 0.03150000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FBH4 51.83590000 PA USD 57.43000000 0.000000198966 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07500000 N N N N N N LANARK MASTER ISSUER PLC 213800KIOPB5OYXIVY33 513770BB2 9894939.99000000 PA USD 9905448.42000000 0.034317536580 Long ABS-CBDO CORP GB N 2 2069-12-22 Variable 0.02452750 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209N3S9 970.59040000 PA USD 1102.97000000 0.000003821251 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404Q2Z1 34713.10080000 PA USD 37966.26000000 0.000131534531 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210JG44 764.71410000 PA USD 882.99000000 0.000003059128 Long ABS-MBS USGA US N 2 2030-10-15 Fixed 0.07000000 N N N N N N BANK 2019-BN24 N/A 06540VAL9 588000.00000000 PA USD 502979.43000000 0.001742577847 Long ABS-MBS CORP US N 2 2062-11-15 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292LH99 1884717.57070000 PA USD 2055906.47000000 0.007122710906 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0YY8 139244.09290000 PA USD 153507.90000000 0.000531829832 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FLEXERA SOFTWARE LLC FHBIRN3K4PSRU4ZOQQ49 33937KAQ7 887175.32000000 PA USD 889393.26000000 0.003081312873 Long LON CORP US N 2 2025-02-26 Variable 0.05150000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJSP6 374631.12990000 PA USD 394257.49000000 0.001365909473 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297KEH1 3667.64490000 PA USD 4109.81000000 0.000014238482 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128LXBG4 26465.19610000 PA USD 29652.26000000 0.000102730585 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AASL3 863523.60650000 PA USD 954139.53000000 0.003305627048 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N PROGRESS RESIDENTIAL 2018-SFR1 TRUST N/A 74334AAF6 472000.00000000 PA USD 480925.10000000 0.001666170375 Long ABS-CBDO CORP US N 2 2035-03-17 Fixed 0.04778000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417D4J9 4781657.49200000 PA USD 5165809.64000000 0.017897005140 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FCS74 452622.03500000 PA USD 489141.07000000 0.001694634695 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 0.04500000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AJ9 12201000.00000000 PA USD 14671929.68000000 0.050831064092 Long DBT CORP US N 2 2038-08-15 Fixed 0.04800000 N N N N N N FORD MTR CR CO LLC UDSQCVRUX5BONN0VY111 345397ZK2 9629000.00000000 PA USD 9879212.84000000 0.034226643121 Long DBT CORP US N 2 2021-01-07 Fixed 0.05085000 N N N N N N CITIZENS BANK NA DRMSV1Q0EKMEXLAU1P80 17401QAE1 4182000.00000000 PA USD 4237741.63000000 0.014681703163 Long DBT CORP US N 2 2021-05-13 Fixed 0.02550000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291BTQ0 2814.97410000 PA USD 3173.99000000 0.000010996323 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AKJ6 278626.36460000 PA USD 289476.55000000 0.001002894737 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404BBS0 162102.52150000 PA USD 176894.12000000 0.000612851652 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N HILCORP ENERGY I LP/FIN CO N/A 431318AN4 3964000.00000000 PA USD 3131560.00000000 0.010849324563 Long DBT CORP US N 2 2024-12-01 Fixed 0.05000000 N N N N N N BANFF MERGER SUB INC 549300DSDR5SWIGOZV63 05988LAA6 6795000.00000000 PA USD 6828635.25000000 0.023657883020 Long DBT CORP US N 2 2026-09-01 Fixed 0.09750000 N N N N N N 280 PK AVE 2017-280P MTG TR N/A 90205FAQ3 1278000.00000000 PA USD 1280045.06000000 0.004434730393 Long ABS-MBS CORP US N 2 2034-09-15 Variable 0.04485500 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 36186CBY8 2458000.00000000 PA USD 3402707.72000000 0.011788718864 Long DBT CORP US N 2 2031-11-01 Fixed 0.08000000 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NBD0 475000.00000000 PA USD 568812.50000000 0.001970657253 Long DBT CORP NL N 2 2049-03-19 Fixed 0.06900000 N N N N N N JOHN LEWIS PLC 213800JSUFNZLZLCVJ25 N/A 4985000.00000000 PA 7245424.56000000 0.025101854236 Long DBT CORP GB N 2 2025-01-21 Fixed 0.06125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31359KKK2 33526.48720000 PA USD 36006.59000000 0.000124745232 Long ABS-CBDO USGSE US N 2 2025-07-25 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208SDQ2 1107.62040000 PA USD 1273.49000000 0.000004412020 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCE0 200000.00000000 PA USD 207000.00000000 0.000717153809 Long DBT CORP MX N 2 2022-03-13 Fixed 0.05375000 N N N N N N RUSSIA FEDN MINISTRY FINANCE 5493004EHVGF71PDBU58 N/A 2800000.00000000 PA USD 3369800.00000000 0.011674709701 Long DBT NUSS RU N 2 2035-03-28 Fixed 0.05100000 N N N N N N MORGAN STANLEY CAP I TR 2011-C3 N/A 61760RAN2 1210000.00000000 PA USD 1212730.97000000 0.004201519977 Long ABS-MBS CORP US N 2 2049-07-15 Variable 0.05244467 N N N N N N RPI 2019 INTERMEDIATE FINANCE TRUST 549300RTICDAOJP6BY55 74969AAC5 8495000.00000000 PA USD 8484381.25000000 0.029394233513 Long LON CORP US N 2 2027-02-11 Variable 0.03415250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36182EMJ9 310396.00900000 PA USD 328967.65000000 0.001139712094 Long ABS-MBS USGA US N 2 2044-02-15 Fixed 0.03500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -29000000.00000000 NC USD -1365424.40000000 -0.00473052806 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2030-01-10 0.00000000 USD 0.00000000 USD -29000000.00000000 USD 1.00000000 1.92000000 USD 2025-01-08 XXXX -556324.40000000 N N N PEMEX PROJ FDG MASTER TR N/A 706451AG6 650000.00000000 PA USD 710125.00000000 0.002460235986 Long DBT CORP MX N 2 2022-02-01 Fixed 0.08625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379FQB3 377.26180000 PA USD 389.72000000 0.000001350189 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 0.07500000 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 054561AC9 3251000.00000000 PA USD 3456897.27000000 0.011976459165 Long DBT CORP US N 2 2023-04-20 Fixed 0.03900000 N N N N N N ION TRADING FINANCE LTD N/A N/A 3557507.23000000 PA USD 3390766.87000000 0.011747349656 Long LON CORP IE N 2 2024-11-21 Variable 0.06064380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383KZD2 4751.95970000 PA USD 5445.82000000 0.000018867104 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223VNA0 240.28420000 PA USD 247.03000000 0.000000855838 Long ABS-MBS USGA US N 2 2022-02-15 Fixed 0.07500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AA2T1 3479645.35580000 PA USD 3502899.13000000 0.012135833122 Long ABS-CBDO USGSE US N 2 2042-06-25 Fixed 0.01750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WJUV1 50887.90600000 PA USD 53713.71000000 0.000186091747 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622AAGN8 17324203.36000000 PA USD 18834868.70000000 0.065253612779 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419K5S0 4930.16370000 PA USD 5454.28000000 0.000018896413 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NEK7 21120.43940000 PA USD 23322.65000000 0.000080801581 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M6XY9 6736.54520000 PA USD 7518.94000000 0.000026049451 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQPH9 11000341.24190000 PA USD 12017958.61000000 0.041636351706 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AASQ2 2294.40450000 PA USD 2564.34000000 0.000008884184 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N CCC INFORMATION SERVICES INC N/A N/A 625000.00000000 PA USD 619012.50000000 0.002144575713 Long LON CORP US N 2 2024-04-27 Variable 0.04400000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F1ZN5 979811.57630000 PA USD 1050855.56000000 0.003640700813 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H030641 -30300000.00000000 PA USD -31275014.61000000 -0.10835263709 Short ABS-MBS USGA US N 2 2050-04-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207TTJ0 548.20110000 PA USD 624.11000000 0.000002162236 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CWX8 37102978.23700000 PA USD 39572934.63000000 0.137100873599 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 0.04000000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BB1 22737000.00000000 PA USD 27197832.51000000 0.094227194217 Long DBT CORP US N 2 2045-08-15 Fixed 0.05850000 N N N N N N YPF SOCIEDAD ANONIMA 5493003N7447U18U5U53 984245AK6 6629000.00000000 PA USD 6048962.50000000 0.020956698078 Long DBT CORP AR N 2 2024-04-04 Fixed 0.08750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209T7M5 421.82920000 PA USD 487.98000000 0.000001690612 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07500000 N N N N N N WFRBS COML MTG TR 2011-C3 N/A 92935VAS7 949000.00000000 PA USD 662741.74000000 0.002296076153 Long ABS-MBS CORP US N 2 2044-03-15 Variable 0.05680254 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AN2M4 40242.45920000 PA USD 41983.51000000 0.000145452338 Long ABS-MBS USGSE US N 2 2041-08-01 Variable 0.04116000 N N N N N N LIBERTY MUTUAL GROUP INC QUR0DG15Z6FFGYCHH861 53079EBG8 8055000.00000000 PA USD 9479062.54000000 0.032840317941 Long DBT CORP US N 2 2029-02-01 Fixed 0.04569000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416CAH9 23027.49130000 PA USD 24056.56000000 0.000083344220 Long ABS-MBS USGSE US N 2 2036-05-01 Variable 0.04567000 N N N N N N EGYPT, (ARAB) REP OF 529900GFIVH4086NMH82 038461AM1 1586000.00000000 PA USD 1701480.63000000 0.005894798628 Long DBT NUSS EG N 2 2047-01-31 Fixed 0.08500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFP9 10930000.00000000 PA USD 11929714.85000000 0.041330630215 Long DBT CORP US N 2 2025-04-21 Fixed 0.03950000 N N N N N N GOLDEN NUGGET INC NEW N/A 38113YAE9 8330000.00000000 PA USD 8181726.00000000 0.028345681022 Long DBT CORP US N 2 2024-10-15 Fixed 0.06750000 N N N N N N WEB COM GROUP INC 254900QSA9ZIGO5F5S30 94732YAV5 699609.70000000 PA USD 670750.80000000 0.002323823631 Long LON CORP US N 2 2026-10-11 Variable 0.09389380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GUMS3 481051.47200000 PA USD 518210.68000000 0.001795346683 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312938HW6 3709.05020000 PA USD 4112.15000000 0.000014246589 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A6RH5 102678.29480000 PA USD 111590.46000000 0.000386606393 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP N/A 451102BQ9 4491000.00000000 PA USD 4636957.50000000 0.016064791000 Long DBT CORP US N 2 2025-12-15 Fixed 0.06375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213VXK9 1109.84720000 PA USD 1299.08000000 0.000004500677 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N BRAZIL, FEDERATIVE REPUBLIC OF 254900ZFY40OYEADAP90 105756BB5 5474000.00000000 PA USD 7911640.63000000 0.027409967244 Long DBT NUSS BR N 2 2034-01-20 Fixed 0.08250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200MPF4 5798.76450000 PA USD 6403.82000000 0.000022186105 Long ABS-MBS USGA US N 2 2033-06-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XYLE5 1906561.00100000 PA USD 2061338.29000000 0.007141529507 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A4P58 69044.83910000 PA USD 75037.72000000 0.000259969018 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230NNW1 27277.51670000 PA USD 29637.31000000 0.000102678791 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N TURKIYE IS BANK AS 789000FIRX9MDN0KTM91 90016BAA6 645000.00000000 PA USD 644193.75000000 0.002231816435 Long DBT CORP TR N 2 2020-04-30 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180MJG3 26706.17240000 PA USD 28404.21000000 0.000098406702 Long ABS-MBS USGA US N 2 2043-08-15 Fixed 0.03500000 N N N N N N DAVIDS BRIDAL INC N/A N/A 2055.00000000 NS USD 256.88000000 0.000000889963 Long EC CORP US N 3 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A4TX3 1450.93340000 PA USD 1581.98000000 0.000005480787 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31369DY70 66.77640000 PA USD 71.03000000 0.000000246084 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200N6N6 2567.58070000 PA USD 2944.07000000 0.000010199763 Long ABS-MBS USGA US N 2 2034-12-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384GGC3 307.79540000 PA USD 360.75000000 0.000001249822 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.07500000 N N N N N N PROGRESS RESIDENTIAL 2018-SFR2 N/A 74332UAL1 292000.00000000 PA USD 302743.85000000 0.001048859446 Long ABS-CBDO CORP US N 2 2035-08-17 Fixed 0.04953000 N N N N N N BX 2020-BXLP N/A 05607QAK4 13462000.00000000 PA USD 13457953.32000000 0.046625229447 Long ABS-MBS CORP US N 2 2029-12-15 Variable 0.02658500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GT2D1 131258.15300000 PA USD 139708.92000000 0.000484023112 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.04000000 N N N N N N MURRAY ENERGY CORP 549300WM5IIFYHZYTT63 N/A 1800663.61000000 PA USD 1788653.18000000 0.006196808900 Long LON CORP US N 2 2020-07-31 Variable 0.13000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402WLA4 126403.82900000 PA USD 138226.15000000 0.000478886039 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283H6B6 46415.84590000 PA USD 53804.34000000 0.000186405736 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.06500000 N N N N N N EL SALVADOR REPUBLIC OF 529900AKDMUSFSDOM949 283875BZ4 670000.00000000 PA USD 699521.88000000 0.002423501358 Long DBT NUSS SV N 2 2050-01-20 Fixed 0.07124600 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208XTA9 410.75370000 PA USD 461.83000000 0.000001600015 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AC7K9 2308570.42000000 PA USD 2736876.26000000 0.009481938342 Long ABS-CBDO USGSE US N 2 2041-06-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJLJ5 26227.93390000 PA USD 31195.21000000 0.000108076153 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QNFQ7 502011.52090000 PA USD 537888.98000000 0.001863522373 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FA6N5 72919.98000000 PA USD 12840.47000000 0.000044485951 Long ABS-CBDO USGSE US N 2 2034-05-25 Fixed 0.05500000 N N N N N N SCIENTIFIC GAMES INTL INC RLTHESQ0RNFQJWPBJN60 80874YAW0 3249000.00000000 PA USD 3259153.13000000 0.011291372386 Long DBT CORP US N 2 2025-10-15 Fixed 0.05000000 N N N N N N SITE CENTERS CORP W2AVA6SODOQ1LCYJQR54 23317HAF9 904000.00000000 PA USD 1016251.76000000 0.003520815562 Long DBT CORP US N 2 2027-06-01 Fixed 0.04700000 N N N N N N LONDON CLEARING HOUSE N/A N/A -54715000.00000000 NC USD -2933912.49000000 -0.01016457255 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2030-03-18 0.00000000 USD 0.00000000 USD -56218474.01000000 USD -2933912.49000000 N N N GOLDEN ENTERTAINMENT INC 549300P8YYCKQVJ0Y638 38101JAC0 6516788.40000000 PA USD 6370160.66000000 0.022069492687 Long LON CORP US N 2 2024-10-20 Variable 0.04620000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FKJ0 57639.81420000 PA USD 62733.07000000 0.000217339421 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04000000 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 664397AK2 9622000.00000000 PA USD 9998868.05000000 0.034641189931 Long DBT CORP US N 2 2023-05-01 Fixed 0.02800000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AWDW7 176556.08520000 PA USD 187726.72000000 0.000650381316 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.03500000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C7 N/A 61690KAN2 391000.00000000 PA USD 354032.91000000 0.001226550967 Long ABS-MBS CORP US N 2 2046-02-15 Variable 0.04238194 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FB43 647.83950000 PA USD 709.03000000 0.000002456442 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 0.07000000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 1.00000000 NC N/A -4759914.38000000 -0.01649077648 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 290168000.00000000 EUR 316948475.22000000 USD 2020-05-14 -4759914.38000000 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FQ66 432940.25050000 PA USD 466574.34000000 0.001616452007 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 0.04000000 N N N N N N KEYBANK NATL ASSN HUX2X73FUCYHUVH1BK78 49306CAB7 1259000.00000000 PA USD 1631403.61000000 0.005652016010 Long DBT CORP US N 2 2028-02-01 Fixed 0.06950000 N N N N N N SYDNEY FUTURES EXCHANGE LTD N/A N/A 40.00000000 NC 99982.77000000 0.000346391422 N/A DIR CORP AU N 1 SYDNEY FUTURES EXCHANGE LTD N/A Long AUSTRALIA, COMMONWEALTH OF AUST 10YR BOND FUT UNDERLYING 2020-03-16 3977716.88000000 AUD 99982.77000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 31296XSH9 17637.72890000 PA USD 19773.88000000 0.000068506827 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JM6T1 48462.12860000 PA USD 52515.62000000 0.000181940951 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297F5U2 29085.16950000 PA USD 32479.82000000 0.000112526698 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376P4J1 168.29900000 PA USD 188.97000000 0.000000654688 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.07000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BQA3 824205.89370000 PA USD 825803.12000000 0.002861004123 Long ABS-CBDO USGA US N 2 2062-03-20 Variable 0.02364380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BSH0 2414206.11760000 PA USD 2585234.27000000 0.008956572975 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GSQC6 83465.97850000 PA USD 90812.45000000 0.000314620746 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406JTA1 475.32300000 PA USD 483.22000000 0.000001674121 Long ABS-MBS USGSE US N 2 2021-03-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GMZ0 150740.53340000 PA USD 164790.59000000 0.000570918837 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.04000000 N N N N N N CATALENT PHARMA SOLUTIONS 549300HALRZ339MSTH85 14880BAG6 1488750.00000000 PA USD 1466418.75000000 0.005080424122 Long LON CORP US N 2 2026-05-09 Variable 0.03853380 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396WJV9 71691.42780000 PA USD 152973.56000000 0.000529978605 Long ABS-CBDO USGSE US N 2 2037-06-25 Variable 0.30859500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409XX95 646.53830000 PA USD 658.31000000 0.000002280722 Long ABS-MBS USGSE US N 2 2021-04-01 Fixed 0.06000000 N N N N N N NOBLE HLDG INTL LTD 549300GNEZBJHMST9U32 65504LAK3 1204000.00000000 PA USD 313040.00000000 0.001084530573 Long DBT CORP KY N 2 2042-03-15 Fixed 0.05250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297JT46 151795.67540000 PA USD 167724.72000000 0.000581084163 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.04500000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GCW8 6888000.00000000 PA USD 7077420.00000000 0.024519800563 Long DBT CORP US N 2 2025-08-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213JUY9 1900.72390000 PA USD 2207.24000000 0.000007647007 Long ABS-MBS USGA US N 2 2031-10-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213TCS0 233.82890000 PA USD 272.43000000 0.000000943836 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8KM6 47623.27600000 PA USD 51299.57000000 0.000177727932 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2BP6 7783236.27200000 PA USD 8281053.62000000 0.028689802670 Long ABS-MBS USGA US N 2 2042-08-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F12A9 242861.27950000 PA USD 258653.63000000 0.000896108387 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N REGIONS BANK OF ALABAMA EQTWLK1G7ODGC2MGLV11 75913MAA7 15683000.00000000 PA USD 22134374.72000000 0.076684788203 Long DBT CORP US N 2 2037-06-26 Fixed 0.06450000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A 3137BE3R3 3556817.09590000 PA USD 3894925.28000000 0.013494012093 Long ABS-CBDO USGSE US N 2 2040-11-15 Fixed 0.04500000 N N N N N N SPRINGLEAF FINANCE CORPORATION 5493008I795YYBFWFU90 85172FAN9 1390000.00000000 PA USD 1542900.00000000 0.005345394266 Long DBT CORP US N 2 2026-03-15 Fixed 0.07125000 N N N N N N COLONY CAPITAL INC 549300XG87L902AGBO89 19626G702 29400.00000000 NS USD 650034.00000000 0.002252050046 Long EP CORP US N 1 N N N CHICAGO BOARD OF TRADE N/A N/A -2623.00000000 NC USD -4787614.69000000 -0.01658674451 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Short UST NOTES UNDERLYING TREASURY 2 YR NOTE GENERIC IV FOR FUTURES TRADING 2020-06-30 -567887057.19000000 USD -4787614.69000000 N N N SPRINT CORP 549300ZTTY7CXOLJ6539 85207UAF2 17008000.00000000 PA USD 19445756.64000000 0.067370040864 Long DBT CORP US N 2 2023-09-15 Fixed 0.07875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5AS8 73290.30220000 PA USD 81638.18000000 0.000282836385 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31381CES2 175.39220000 PA USD 190.10000000 0.000000658603 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.07500000 N N N N N N WIDE OPEN WEST FINANCE LLC 54930045JY28O5B5WE54 96758DBA0 13071010.61800000 PA USD 12613525.25000000 0.043699698976 Long LON CORP US N 2 2023-08-19 Variable 0.04889380 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31395DMG1 29610.65630000 PA USD 27531.76000000 0.000095384089 Long ABS-CBDO USGSE US N 2 2036-05-25 Fixed 0.00000000 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAD5 1529000.00000000 PA USD 1574956.01000000 0.005456452670 Long DBT CORP US N 2 2021-06-15 Fixed 0.04420000 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2019-SOHO N/A 36257XAN1 1488000.00000000 PA USD 1487997.32000000 0.005155183318 Long ABS-MBS CORP US N 2 2036-06-15 Variable 0.03533149 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GEQM5 27751.04900000 PA USD 30271.68000000 0.000104876573 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04000000 N N N N N N CHEMOURS CO 549300M1BOLNXL8DOV14 163851AE8 3380000.00000000 PA USD 2899026.00000000 0.010043707925 Long DBT CORP US N 2 2027-05-15 Fixed 0.05375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213Y3X8 3680.44920000 PA USD 4288.08000000 0.000014856101 Long ABS-MBS USGA US N 2 2031-10-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NYW43 139437.25140000 PA USD 144314.07000000 0.000499977705 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N DP WORLD PLC 549300M3U2DNF4QVSS04 23330JAB7 440000.00000000 PA USD 493212.50000000 0.001708740209 Long DBT CORP AE N 2 2048-09-25 Fixed 0.05625000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A 39.00000000 NC USD 283274.94000000 0.000981409190 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UNDERLYING TREASURY 20 YR NOTEGENERIC IV FOR FUTURES TRADING 2020-06-19 6356475.06000000 USD 283274.94000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224JPZ9 2566.10620000 PA USD 2697.99000000 0.000009347216 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RZT9 19982765.96700000 PA USD 21160953.84000000 0.073312360702 Long ABS-MBS USGA US N 2 2046-02-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DMR9 723.29510000 PA USD 829.00000000 0.000002872079 Long ABS-MBS USGA US N 2 2031-04-20 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206HY77 863.57860000 PA USD 944.18000000 0.000003271122 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N COMM 2012-CCRE1 MTG TR N/A 12624BAH9 769000.00000000 PA USD 810098.74000000 0.002806596124 Long ABS-MBS CORP US N 2 2045-05-15 Variable 0.05319888 N N N N N N VEDANTA RESOURCES FINANCE II PLC 8945002DGA3BBXO3N634 92243XAA9 365000.00000000 PA USD 330600.58000000 0.001145369398 Long DBT CORP GB N 2 2026-04-23 Fixed 0.09250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204ABK0 101.16050000 PA USD 108.82000000 0.000000377008 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297MLB2 35151.41840000 PA USD 39579.97000000 0.000137125247 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307UH50 227109.97980000 PA USD 239602.55000000 0.000830105708 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283HX75 115938.36620000 PA USD 133767.84000000 0.000463440174 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W7SA3 15885.62560000 PA USD 16436.26000000 0.000056943606 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.02500000 N N N N N N CAMDEN PROPERTY TRUST 5493002MYX22OHYJBD89 133131AT9 4218000.00000000 PA USD 4344205.89000000 0.015050549780 Long DBT CORP US N 2 2022-12-15 Fixed 0.02950000 N N N N N N RBSSP RESECURITIZATION TRUST 2010-1 N/A 74928YAC3 1445986.47000000 PA USD 1448831.01000000 0.005019491200 Long ABS-CBDO CORP US N 2 2045-07-26 Variable 0.04544890 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 17050000.00000000 NC USD 31394.17000000 0.000108765452 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S11 PRC INDX CMBX0AAA Y 2054-11-18 0.00000000 USD 33268.63000000 USD 17050000.00000000 USD 64662.80000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407GC71 629.98600000 PA USD 630.06000000 0.000002182849 Long ABS-MBS USGSE US N 2 2020-05-01 Fixed 0.05000000 N N N N N N COMM 2012-CCRE2 MTG TR N/A 12624KBA3 2033000.00000000 PA USD 1878574.13000000 0.006508341035 Long ABS-MBS CORP US N 2 2045-08-15 Fixed 0.04250000 N N N N N N AMERICAN INTERNATIONAL GROUP INC ODVCVCQG2BP6VHV36M30 026874CU9 11590000.00000000 PA USD 12350056.67000000 0.042786909141 Long DBT CORP US N 2 2022-06-01 Fixed 0.04875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BNU6 1627841.85900000 PA USD 1737057.68000000 0.006018055715 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.03500000 N N N N N N TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN N/A 87612BAP7 5050000.00000000 PA USD 5002025.00000000 0.017329571427 Long DBT CORP US N 2 2023-11-15 Fixed 0.04250000 N N N N N N NATIXIS COML MTG SECS TR 2020-2PAC N/A 63875DAS0 336000.00000000 PA USD 333376.44000000 0.001154986396 Long ABS-MBS CORP US N 2 2037-01-15 Variable 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395UZR5 1179624.52270000 PA USD 1393460.84000000 0.004827660629 Long ABS-CBDO USGSE US N 2 2035-06-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193GKX2 77663.95540000 PA USD 83165.30000000 0.000288127109 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMF40 1005.54430000 PA USD 1040.96000000 0.000003606417 Long ABS-MBS USGSE US N 2 2022-03-01 Fixed 0.06500000 N N N N N N BANK NOVA SCOTIA BC N/A 064159KJ4 4078000.00000000 PA USD 4011732.50000000 0.013898692011 Long EP CORP CA N 2 N N N CURIE MERGER SUB LLC 549300RZMZYU7GPVZ531 12594WAJ5 635000.00000000 PA USD 636587.50000000 0.002205464497 Long LON CORP US N 2 2026-11-04 Variable 0.06194630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412P3P4 162298.82610000 PA USD 179856.85000000 0.000623116063 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297RYJ0 3893.66830000 PA USD 4381.39000000 0.000015179374 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389JZR8 82.08290000 PA USD 94.93000000 0.000000328886 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 0.07000000 N N N N N N EGYPT, (ARAB) REP OF 529900GFIVH4086NMH82 03846JW71 3340000.00000000 PA USD 3581106.25000000 0.012406782562 Long DBT NUSS EG N 2 2029-03-01 Fixed 0.07600300 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AAXS2 30855.25990000 PA USD 34054.56000000 0.000117982403 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213GVB4 1222.27940000 PA USD 1410.18000000 0.000004885584 Long ABS-MBS USGA US N 2 2031-11-15 Fixed 0.07000000 N N N N N N HEALTHCARE TRUST OF AMERICA HOLDINGS LP 549300IYGAS4GE6VDL07 42225UAG9 4838000.00000000 PA USD 5058068.38000000 0.017523734342 Long DBT CORP US N 2 2030-02-15 Fixed 0.03100000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312943FB4 156372.79510000 PA USD 173074.41000000 0.000599618224 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31339WBA3 10118.39960000 PA USD 10285.84000000 0.000035635407 Long ABS-CBDO USGSE US N 2 2032-03-15 Variable 0.02558500 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BL3 21648000.00000000 PA USD 22765753.35000000 0.078872206512 Long DBT CORP US N 2 2029-10-01 Fixed 0.03625000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AU1 4409000.00000000 PA USD 4564880.20000000 0.015815078390 Long DBT CORP US N 2 2026-05-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378LJ94 303.23800000 PA USD 341.17000000 0.000001181987 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N COMMSCOPE FIN LLC N/A 20338QAB9 600000.00000000 PA USD 608688.00000000 0.002108806368 Long DBT CORP US N 2 2024-03-01 Fixed 0.05500000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C9 549300PFVBG5704L7K74 61762DAG6 1700000.00000000 PA USD 1769580.66000000 0.006130731942 Long ABS-MBS CORP US N 2 2046-05-15 Variable 0.04122206 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMRZ7 14275.06470000 PA USD 15191.63000000 0.000052631571 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.03500000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAC7 4720000.00000000 PA USD 4842535.02000000 0.016777016612 Long DBT CORP US N 2 2021-08-15 Fixed 0.03750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128K72U1 2271.34750000 PA USD 2554.85000000 0.000008851306 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.05000000 N N N N N N CEDAR FDG XI CLO LTD N/A 15033LAA0 11001000.00000000 PA USD 11002100.10000000 0.038116898563 Long ABS-CBDO CORP KY N 2 2032-05-29 Variable 0.03263750 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNH51 341281.76200000 PA USD 364179.17000000 0.001261702798 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N SEMINOLE TRIBAL FLA N/A 81683UAN7 2371998.82000000 PA USD 2348278.83000000 0.008135638209 Long LON CORP US N 2 2024-07-06 Variable 0.03353380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180NDR3 58681.78690000 PA USD 62284.53000000 0.000215785449 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TZ93 761.11840000 PA USD 868.71000000 0.000003009655 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JYTZ9 3352506.88200000 PA USD 3481456.70000000 0.012061545584 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206VKY2 248.69950000 PA USD 278.57000000 0.000000965108 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36196HQG8 250583.24910000 PA USD 267249.64000000 0.000925889359 Long ABS-MBS USGA US N 2 2047-01-15 Fixed 0.04000000 N N N N N N RADIATE HOLDCO LLC / RADIATE FIN INC N/A 75026JAA8 11150000.00000000 PA USD 11177875.00000000 0.038725872665 Long DBT CORP US N 2 2025-02-15 Fixed 0.06625000 N N N N N N MARATHON PETROLEUM CORP 3BNYRYQHD39K4LCKQF12 56585AAD4 6484000.00000000 PA USD 6668336.36000000 0.023102525727 Long DBT CORP US N 2 2021-03-01 Fixed 0.05125000 N N N N N N ARGENT SECS INC N/A 040104LJ8 6796.68380000 PA USD 16562.17000000 0.000057379822 Long ABS-CBDO CORP US N 2 2034-06-26 Variable 0.04418651 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213PNP2 6281.26300000 PA USD 7298.31000000 0.000025285076 Long ABS-MBS USGA US N 2 2031-05-15 Fixed 0.07000000 N N N N N N SABIC CAPITAL II BV 2138005PCUTH59D4RJ83 78520LAA8 1583000.00000000 PA USD 1672439.50000000 0.005794185309 Long DBT CORP NL N 2 2023-10-10 Fixed 0.04000000 N N N N N N SAUDI ARABIA KINGDOM OF 54930044PULMORCKB765 80413TAF6 2070000.00000000 PA USD 2416725.00000000 0.008372770729 Long DBT NUSS SA N 2 2047-10-04 Fixed 0.04625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376XVJ4 3133.68650000 PA USD 3558.35000000 0.000012327943 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MK74 7819555.23500000 PA USD 8319695.55000000 0.028823678068 Long ABS-MBS USGA US N 2 2042-08-20 Fixed 0.03500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 48600000.00000000 NC USD 126906.75000000 0.000439669851 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-05-04 0.00000000 USD 0.00000000 USD 48600000.00000000 USD 1.00000000 2.61000000 USD 2022-04-29 XXXX -1190153.25000000 N N N SITE CENTERS CORP W2AVA6SODOQ1LCYJQR54 23317HAA0 4060000.00000000 PA USD 4323830.29000000 0.014979958287 Long DBT CORP US N 2 2022-07-15 Fixed 0.04625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36294QLV1 26769.52800000 PA USD 29051.91000000 0.000100650666 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.04000000 N N N N N N EXELON CORP 3SOUA6IRML7435B56G12 30161NAH4 3114000.00000000 PA USD 3121401.20000000 0.010814129287 Long DBT CORP US N 2 2020-06-15 Fixed 0.02850000 N N N N N N PROGRESS RESIDENTIAL 2015-SFR3 TR N/A 74332NAL7 168000.00000000 PA USD 168080.05000000 0.000582315208 Long ABS-CBDO CORP US N 2 2032-11-12 Fixed 0.06643000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210E7C7 378.95740000 PA USD 425.68000000 0.000001474773 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A 141.00000000 NC USD 1823875.89000000 0.006318838372 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UNITED STATES TREASURY BOND UNDERLYING TREASURY BOND GENERIC IV FOR FUTURES TRADING 2020-06-19 27433624.11000000 USD 1823875.89000000 N N N PROJECT BOOST PURCHASER LLC N/A 74339NAB2 1745625.00000000 PA USD 1697620.31000000 0.005881424506 Long LON CORP US N 2 2026-05-30 Variable 0.05103380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AS2T5 76924.31570000 PA USD 83915.61000000 0.000290726567 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378P3C5 46.81910000 PA USD 47.68000000 0.000000165187 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N CHC COML MTG TR 2019-CHC N/A 162665AQ6 3822000.00000000 PA USD 3819692.66000000 0.013233367842 Long ABS-MBS CORP US N 2 2034-06-15 Variable 0.04266700 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224H7L4 276.56340000 PA USD 288.17000000 0.000000998368 Long ABS-MBS USGA US N 2 2022-06-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384Q6P3 1036.00070000 PA USD 1198.72000000 0.000004152978 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205KTL6 818.60620000 PA USD 872.30000000 0.000003022093 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 0.07500000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAF6 2465000.00000000 PA USD 1608412.50000000 0.005572363053 Long DBT CORP US N 2 2027-10-01 Fixed 0.03900000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407PH92 1083.14040000 PA USD 1277.84000000 0.000004427090 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376H2Y8 1700.83410000 PA USD 1917.92000000 0.000006644655 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335AGC6 124139.97900000 PA USD 135376.82000000 0.000469014503 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ESS1 75753.93100000 PA USD 78403.42000000 0.000271629523 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCT7 80806000.00000000 PA USD 84442270.00000000 0.292551186662 Long DBT CORP MX N 2 2030-01-23 Fixed 0.06840000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FW65 298834.31800000 PA USD 340624.27000000 0.001180096584 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BWC2 69633.40480000 PA USD 69833.48000000 0.000241938870 Long ABS-CBDO USGA US N 2 2061-05-20 Variable 0.02384380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YR3Y2 6564596.80110000 PA USD 6999673.33000000 0.024250446357 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJTK6 112453.27310000 PA USD 118344.53000000 0.000410005944 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.03000000 N N N N N N COSAN OVERSEAS LTD 222100V5GTJGKUH55655 N/A 4983000.00000000 PA USD 5132490.00000000 0.017781568875 Long EP CORP KY N 2 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ALQG2 26502.82570000 PA USD 29571.23000000 0.000102449856 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.05000000 N N N N N N BANK 2018-BNK15 N/A 06036FAJ0 735000.00000000 PA USD 695152.27000000 0.002408362796 Long ABS-MBS CORP US N 2 2061-11-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207J2F9 176.69660000 PA USD 199.93000000 0.000000692659 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N PENN NATIONAL GAMING INC N/A 70757DAV1 1533699.04000000 PA USD 1510693.55000000 0.005233814661 Long LON CORP US N 2 2025-10-15 Variable 0.03853380 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FLM6 55622.88300000 PA USD 59319.59000000 0.000205513381 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QUBZ5 122855.54810000 PA USD 132709.18000000 0.000459772434 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04000000 N N N N N N WFRBS COML MTG TR 2011-C5 N/A 92936JAA2 2199587.89720000 PA USD 42700.60000000 0.000147936705 Long ABS-MBS CORP US N 2 2044-11-15 Variable 0.01686885 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AFDY0 28302.26670000 PA USD 31605.54000000 0.000109497745 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBJ33 10040104.84600000 PA USD 10909279.73000000 0.037795321355 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GKDQ6 205074.36590000 PA USD 223509.01000000 0.000774349459 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409D4W0 264.00300000 PA USD 312.63000000 0.000001083110 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31298AYN7 72.00370000 PA USD 84.83000000 0.000000293894 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A8L38 26507.25070000 PA USD 29316.91000000 0.000101568761 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31388JTK1 1476.71260000 PA USD 1719.06000000 0.000005955702 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404NXL5 121059.71560000 PA USD 132477.06000000 0.000458968252 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NWTW9 27142.60320000 PA USD 28091.92000000 0.000097324770 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207UEE4 9.93820000 PA USD 10.37000000 0.000000035926 Long ABS-MBS USGA US N 2 2026-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WEQM7 17359.81300000 PA USD 18562.50000000 0.000064309988 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378QGV7 531.24100000 PA USD 611.67000000 0.000002119137 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209EVX7 69.04190000 PA USD 77.06000000 0.000000266975 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VBL7 2486131.67080000 PA USD 2723299.43000000 0.009434901263 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209WHQ8 477.26700000 PA USD 537.61000000 0.000001862555 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392FRK5 166205.24260000 PA USD 24682.04000000 0.000085511202 Long ABS-CBDO USGSE US N 2 2032-11-25 Variable 0.05923250 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312941SD0 147971.03100000 PA USD 163775.28000000 0.000567401285 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.04500000 N N N N N N EMERA US FINANCE LP N/A 29103DAJ5 5152000.00000000 PA USD 5594021.76000000 0.019380550808 Long DBT CORP US N 2 2026-06-15 Fixed 0.03550000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292HJK1 7305.81680000 PA USD 8367.40000000 0.000028988950 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225A3C2 209.03290000 PA USD 240.87000000 0.000000834496 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385HY48 173.90870000 PA USD 194.82000000 0.000000674956 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07000000 N N N N N N TURKIYE SINAI KALKINMA BANK AS 549300MFCXK5HOOEWP84 90015YAA7 965000.00000000 PA USD 937256.25000000 0.003247134736 Long DBT CORP TR N 2 2025-01-23 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AM2Z4 148040.17090000 PA USD 164670.87000000 0.000570504066 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FUC30 103902.73100000 PA USD 112156.07000000 0.000388565956 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378GWZ2 119.45310000 PA USD 136.10000000 0.000000471519 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N API GROUP DE INC 549300PF7K5YYDIK7Y13 00186XAB9 3250000.00000000 PA USD 3209375.00000000 0.011118915499 Long LON CORP US N 2 2026-10-01 Variable 0.04103380 N N N N N N CALIFORNIA RESOURCES CORPORATION 5493003Q8F0T4F4YMR48 13057LAB4 16647000.00000000 PA USD 14136132.99000000 0.048974790481 Long LON CORP US N 2 2022-12-31 Variable 0.06363250 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NNA2 3545841.19280000 PA USD 3769309.68000000 0.013058815446 Long ABS-MBS USGA US N 2 2043-09-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376KSX5 530.60910000 PA USD 626.14000000 0.000002169269 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376K3C8 325.56660000 PA USD 362.27000000 0.000001255088 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07500000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404122BB8 4117268.03000000 PA USD 4101828.27000000 0.014210829811 Long LON CORP US N 2 2026-03-18 Variable 0.03353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MRUW9 72984.07290000 PA USD 75536.69000000 0.000261697705 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378PYU1 586.43500000 PA USD 662.78000000 0.000002296208 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.07500000 N N N N N N AGRO MERCHANTS INTERMEDIATE HOLDINGS LP 254900CNYE1KUANE0T31 00856RAB1 2518614.82000000 PA USD 2477687.33000000 0.008583975402 Long LON CORP KY N 2 2024-12-06 Variable 0.05694630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297F4N9 31456.22700000 PA USD 35127.61000000 0.000121699996 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413BAH4 8132.90500000 PA USD 9755.12000000 0.000033796722 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QL66 18146416.28510000 PA USD 19488118.75000000 0.067516804867 Long ABS-MBS USGA US N 2 2044-08-20 Fixed 0.04000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PDT2 551000.00000000 PA USD 602656.25000000 0.002087909302 Long DBT NUSS DO N 2 2027-01-25 Fixed 0.05950000 N N N N N N EQUINOX HOLDINGS INC 549300W05QKLNGQIIA73 29446CAK0 794000.00000000 PA USD 791522.72000000 0.002742239295 Long LON CORP US N 2 2024-09-08 Variable 0.08603380 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 N/A 5050000.00000000 PA 5579675.04000000 0.019330846436 Long DBT CORP IT N 2 2032-01-15 Variable 0.02731000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132CWC69 22911888.78000000 PA USD 23605869.27000000 0.081782797491 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KL52 12280.80750000 PA USD 13586.36000000 0.000047070095 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N LAGARDERE SCA 969500VX2NV2AQQ65G45 N/A 8800000.00000000 PA 9868474.28000000 0.034189439260 Long DBT CORP FR N 2 2026-10-16 Fixed 0.02125000 N N N N N N ALLEGANY PK CLO LTD / ALLEGANY PK CLO LLC N/A 017154AA3 11198000.00000000 PA USD 11178963.40000000 0.038729643439 Long ABS-CBDO CORP XX N 2 2033-01-20 Variable 0.03149130 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HQYT3 1534136.26440000 PA USD 1613548.53000000 0.005590156886 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223TNH0 163.39920000 PA USD 171.24000000 0.000000593262 Long ABS-MBS USGA US N 2 2022-03-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200Q6R0 755.93120000 PA USD 878.33000000 0.000003042984 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N GLP CAP LP / GLP FING II INC N/A 361841AJ8 3243000.00000000 PA USD 3629403.45000000 0.012574108751 Long DBT CORP US N 2 2025-06-01 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378GSN4 1011.99140000 PA USD 1165.15000000 0.000004036675 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N TRANSUNION LLC X8NPN6PWJOM1QCTYFV34 89334GAX2 3694151.47000000 PA USD 3658355.14000000 0.012674412204 Long LON CORP US N 2 2026-11-16 Variable 0.03353380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31329N6Q6 24710598.82600000 PA USD 26425089.36000000 0.091550016951 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409VR88 77453.09040000 PA USD 81431.08000000 0.000282118885 Long ABS-MBS USGSE US N 2 2033-10-01 Variable 0.04189000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376C2E3 275.64450000 PA USD 310.16000000 0.000001074552 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07500000 N N N N N N WELLS FARGO and CO PBLD0EJDB5FWOLXP3B76 949746RG8 12000000.00000000 PA USD 12868320.00000000 0.044582438230 Long EP CORP US N 2 N N N CHICAGO IL N/A 167486PG8 2095000.00000000 PA USD 2495333.55000000 0.008645110928 Long DBT MUN US N 2 2042-01-01 Fixed 0.05432000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 14000000.00000000 NC USD 1458019.50000000 0.005051324827 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2029-04-20 0.00000000 USD 0.00000000 USD 14000000.00000000 USD 1.00000000 2.64500000 USD 2022-04-14 XXXX 1083659.50000000 N N N AMERICAN HOMES 4 RENT LP 549300N4PXZ37U8QKI55 02666TAA5 896000.00000000 PA USD 988753.79000000 0.003425548538 Long DBT CORP US N 2 2028-02-15 Fixed 0.04250000 N N N N N N PETROBRAS INTL FIN CO LTD N/A 71645WAQ4 1800000.00000000 PA USD 2165940.00000000 0.007503923298 Long DBT CORP LU N 2 2040-01-20 Fixed 0.06875000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377LAL2 15502008.54600000 PA USD 16468396.01000000 0.057054941738 Long ABS-CBDO USGA US N 2 2040-09-16 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WFMN3 31548900.97900000 PA USD 33768009.66000000 0.116989646266 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 0.03500000 N N N N N N PLAYTIKA HOLDING CORP N/A 72814CAE8 5125000.00000000 PA USD 5125000.00000000 0.017755619687 Long LON CORP US N 2 2024-12-10 Variable 0.07603380 N N N N N N NATIONAL EXPRESS GROUP 213800A8IQEMY8PA5X34 N/A 1420000.00000000 PA 1857649.97000000 0.006435849049 Long DBT CORP GB N 2 2028-11-20 Fixed 0.02375000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XYC54 7641571.31200000 PA USD 8118348.05000000 0.028126107407 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N AIB GROUP PLC 635400AKJBGNS5WNQL34 N/A 2400000.00000000 PA 2656501.11000000 0.009203477738 Long DBT CORP IE N 2 2029-11-19 Variable 0.01875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GSBQ4 316999.92200000 PA USD 342180.27000000 0.001185487363 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N MOODYS CORP 549300GCEDD8YCF5WU84 615369AM7 7339000.00000000 PA USD 7991107.29000000 0.027685280374 Long DBT CORP US N 2 2028-01-15 Fixed 0.03250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312938F24 2674.09420000 PA USD 2964.72000000 0.000010271305 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209KV62 218.18170000 PA USD 247.73000000 0.000000858263 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375MXA6 52.70730000 PA USD 56.24000000 0.000000194844 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N MEDALLION MIDLAND ACQUISITION LLC N/A 58404BAB1 710779.58000000 PA USD 682348.40000000 0.002364003645 Long LON CORP US N 2 2024-10-30 Variable 0.04853380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RYC1 328396.12240000 PA USD 356087.44000000 0.001233668909 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N FLEX ACQUISITION COMPANY INC 549300HHED2KGPBEDW39 33936HAB8 3685344.11000000 PA USD 3516444.79000000 0.012182762213 Long LON CORP US N 2 2023-12-29 Variable 0.04900180 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ET6G6 4953756.19890000 PA USD 5294456.73000000 0.018342704419 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QUJM6 9405829.35750000 PA USD 10072160.88000000 0.034895113758 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417LCN3 592141.82830000 PA USD 648003.24000000 0.002245014455 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31359WHX2 123328.96110000 PA USD 137664.62000000 0.000476940612 Long ABS-CBDO USGSE US N 2 2029-07-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F1ZP0 273825.88810000 PA USD 291631.75000000 0.001010361452 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BFQ0 398757.37150000 PA USD 397162.14000000 0.001375972665 Long ABS-CBDO USGA US N 2 2060-08-20 Variable 0.02034380 N N N N N N COMM 2013-CCRE10 MTG TR 549300YJIXJB9DCDOI21 12626BAU8 314000.00000000 PA USD 339705.64000000 0.001176913980 Long ABS-MBS CORP US N 2 2046-08-10 Variable 0.04789003 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KP58 118878.03600000 PA USD 129252.01000000 0.000447795030 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N OMAN SULTANATE 549300SZ20F0QTKNQC75 682051AD9 1245000.00000000 PA USD 1251225.00000000 0.004334882974 Long DBT NUSS OM N 2 2022-03-08 Fixed 0.03875000 N N N N N N AIMCO 2019 N/A 00901AAA5 22128000.00000000 PA USD 22141276.80000000 0.076708700536 Long ABS-CBDO CORP US N 2 2032-07-22 Variable 0.03122130 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230SKB9 162977.40680000 PA USD 173288.92000000 0.000600361396 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417EP62 132887.62260000 PA USD 143819.72000000 0.000498265024 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.04000000 N N N N N N REXFORD INDL RLTY INC 549300MSLO0DF0EMX355 76169C308 30100.00000000 NS USD 767550.00000000 0.002659185539 Long EP CORP US N 1 N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NAF2 9942000.00000000 PA USD 10633719.82000000 0.036840640972 Long DBT CORP CA N 2 2023-10-01 Fixed 0.04000000 N N N N N N KINGPIN INTERMEDIATE HLDGS LLC 549300HRZOJTMNZCST05 49579GAF9 1246534.22000000 PA USD 1215370.86000000 0.004210665906 Long LON CORP US N 2 2024-07-03 Variable 0.05100000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31296VAX7 24061.18570000 PA USD 26939.90000000 0.000093333584 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31287NUQ9 8125.93770000 PA USD 9300.96000000 0.000032223279 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.06000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810RZ3 182698900.00000000 PA USD 226389628.22000000 0.784329393131 Long DBT UST US N 2 2047-11-15 Fixed 0.02750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJMN7 5380.80810000 PA USD 5965.60000000 0.000020667887 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04500000 N N N N N N TANGER PPTYS LTD PARTNERSHIP PQPGJDNFN35EXH363L31 875484AJ6 8723000.00000000 PA USD 8974833.62000000 0.031093411221 Long DBT CORP US N 2 2026-09-01 Fixed 0.03125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FANE8 127327.04370000 PA USD 135009.79000000 0.000467742923 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ATG3 1019575.82000000 PA USD 1105174.31000000 0.003828888729 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N DA VINCI PURCHASER CORP N/A 23343FAB0 1840000.00000000 PA USD 1826200.00000000 0.006326890277 Long LON CORP US N 2 2026-12-13 Variable 0.05872250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295GRV6 19921.62810000 PA USD 22707.53000000 0.000078670491 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.05500000 N N N N N N MARSH and MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BJ0 11640000.00000000 PA USD 15606644.63000000 0.054069394467 Long DBT CORP US N 2 2049-03-15 Fixed 0.04900000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207LWE4 869.62200000 PA USD 967.32000000 0.000003351290 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AETF7 30544.85060000 PA USD 33673.79000000 0.000116663221 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295HAJ9 3468.15280000 PA USD 3953.15000000 0.000013695732 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224TXL9 27.63730000 PA USD 28.49000000 0.000000098703 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07000000 N N N N N N BANCO DE RESERVAS DE LA REPUBLICA DOMINICANA 549300CKQT0JZ2EGNC56 059566AA7 332000.00000000 PA USD 348807.50000000 0.001208447475 Long DBT CORP DO N 2 2023-02-01 Fixed 0.07000000 N N N N N N JPMCC 2019 N/A 46651MAQ9 336000.00000000 PA USD 336843.36000000 0.001166997579 Long ABS-MBS CORP US N 2 2036-07-15 Variable 0.04658500 N N N N N N BX TRUST 2019 N/A 056054AF6 13790251.40000000 PA USD 13824852.52000000 0.047896355819 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.02908500 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FPE0 10624.54600000 PA USD 11320.69000000 0.000039220656 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMU76 20573.02500000 PA USD 21396.08000000 0.000074126957 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.03000000 N N N N N N BBCMS 2016-ETC MTG TR N/A 05491LAG3 868000.00000000 PA USD 900339.42000000 0.003119235967 Long ABS-MBS CORP US N 2 2036-08-14 Variable 0.03608900 N N N N N N TV AZTECA SAB DE CV 549300H2ZXE4KL0NUV88 N/A 6201000.00000000 PA USD 5606091.56000000 0.019422366765 Long DBT CORP MX N 2 2024-08-09 Fixed 0.08250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374N3D2 43.27810000 PA USD 46.45000000 0.000000160926 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407QFV3 4203.15600000 PA USD 4927.33000000 0.000017070789 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N ODEBRECHT FINANCE LTD N/A 675758AL0 1640000.00000000 PA USD 77900.00000000 0.000269885419 Long DBT CORP KY N 2 2025-04-25 Fixed 0.04375000 Y Y N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283GYU5 286.34670000 PA USD 324.23000000 0.000001123298 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.08500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312940TF6 293875.76880000 PA USD 329589.23000000 0.001141865565 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 0.05000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J8CS0 8584782.34300000 PA USD 9210086.73000000 0.031908448246 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 0.03500000 N N N N N N COMM 2014-CCRE15 MTG TR N/A 12591RAE0 298000.00000000 PA USD 322261.55000000 0.001116478735 Long ABS-MBS CORP US N 2 2047-02-10 Variable 0.04746275 N N N N N N FLAGSHIP CREDIT AUTO TRUST 2019-4 N/A 33845FAA4 8517718.47000000 PA USD 8578500.91000000 0.029720312125 Long ABS-CBDO CORP US N 2 2024-06-17 Fixed 0.02170000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208CLK1 1044.86810000 PA USD 1193.14000000 0.000004133646 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46625HJY7 22801000.00000000 PA USD 24694682.33000000 0.085555002487 Long DBT CORP US N 2 2024-09-10 Fixed 0.03875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375XQD4 5561.08460000 PA USD 6209.74000000 0.000021513713 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 0.07000000 N N N N N N TABERNA PFD FDG VI LTD / INC BUHFNQJBNOAUZ24NY591 87331AAL8 669949.58490000 PA USD 50.25000000 0.000000174091 Long ABS-CBDO CORP KY N 3 2036-12-05 Variable 0.06390500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBRJ4 272293.71020000 PA USD 295069.04000000 0.001022269981 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408DU28 5582.49980000 PA USD 6140.33000000 0.000021273241 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LKV7 639903.90570000 PA USD 705454.00000000 0.002444053254 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N DBJPM 2016-C3 MTG TR N/A 23312VAK2 382000.00000000 PA USD 396987.77000000 0.001375368558 Long ABS-MBS CORP US N 2 2049-08-10 Variable 0.03491192 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVA77 81726.06840000 PA USD 86743.61000000 0.000300524204 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03500000 N N N N N N ESH HOSPITALITY INC 54930042FMK7X7SQ2896 26908BAK9 287572.10810000 PA USD 283019.84000000 0.000980525393 Long LON CORP US N 2 2026-09-18 Variable 0.03603380 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BMB5 1089927.96150000 PA USD 1090860.83000000 0.003779299517 Long ABS-CBDO USGA US N 2 2061-05-20 Variable 0.02234380 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810RT7 261200.00000000 PA USD 293105.17000000 0.001015466132 Long DBT UST US N 2 2046-08-15 Fixed 0.02250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406BEU0 7210.97940000 PA USD 7909.89000000 0.000027403902 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402RW88 111601.74870000 PA USD 121798.74000000 0.000421973093 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N LANNETT COMPANY INC 5299001DJ6C90XX17G45 51602EAD6 6881727.98900000 PA USD 6777263.36000000 0.023479904534 Long LON CORP US N 2 2022-11-25 Variable 0.06978380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQLB6 30460133.26330000 PA USD 33993989.99000000 0.117772557641 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.05000000 N N N N N N CALIFORNIA ST N/A 13063A7D0 17580000.00000000 PA USD 28457976.60000000 0.098592977478 Long DBT MUN US N 2 2039-10-01 Fixed 0.07300000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179S2Q9 87948534.70100000 PA USD 93159494.18000000 0.322752107104 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 0.04000000 N N N N N N BRAVE PARENT HOLDINGS INC 549300ZU643BIOAXIB73 N/A 629017.55000000 PA USD 617223.47000000 0.002138377599 Long LON CORP US N 2 2025-04-19 Variable 0.05777130 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MFGG6 499038.15410000 PA USD 538506.43000000 0.001865661535 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N ULTIMATE SOFTWARE GROUP INC 529900FKHWSTQ1GXK240 90385KAB7 3890250.00000000 PA USD 3872977.29000000 0.013417973037 Long LON CORP US N 2 2026-05-04 Variable 0.05353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418WXH8 17284.36280000 PA USD 18792.69000000 0.000065107484 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292K2T3 94638.75730000 PA USD 104746.78000000 0.000362896388 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.04500000 N N N N N N GS MTG SECS CORP TR 2016-RENT N/A 36251GAN4 3220000.00000000 PA USD 3249534.81000000 0.011258049609 Long ABS-MBS CORP US N 2 2029-02-10 Variable 0.04066669 N N N N N N CHS/CMNTY HEALTH SYSTEMS INC 5493007X5NC5XI1BB106 12543DBB5 8598000.00000000 PA USD 8983018.44000000 0.031121767622 Long DBT CORP US N 2 2024-01-15 Fixed 0.08625000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -23900000.00000000 NC USD -1056562.12000000 -0.00366047125 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2030-01-27 0.00000000 USD 0.00000000 USD -23900000.00000000 USD 1.00000000 1.83000000 USD 2025-01-23 XXXX -389154.62000000 N N N FED HOME LOAN MTG CORP - GOLD N/A 312945NL8 55871.87760000 PA USD 61821.89000000 0.000214182627 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209KMU9 392.84570000 PA USD 421.68000000 0.000001460915 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213QAA7 389.61570000 PA USD 449.23000000 0.000001556362 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HMHP9 303878.24550000 PA USD 329865.15000000 0.001142821492 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371HYB8 947.91200000 PA USD 1105.71000000 0.000003830744 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207SDE0 209.58470000 PA USD 237.62000000 0.000000823237 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31415RNF7 455.83430000 PA USD 474.27000000 0.000001643113 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 0.05000000 N N N N N N KENNEDY-WILSON INC 5EA4464UK7FM5QNNKL62 489399AG0 516000.00000000 PA USD 524395.32000000 0.001816773437 Long DBT CORP US N 2 2024-04-01 Fixed 0.05875000 N N N N N N RUSSELL INVESTMENTS US INSTITUTIONAL HOLDCO INC 5493008YG7V0FQCJQI74 78249LAB6 1000000.00000000 PA USD 985630.00000000 0.003414726133 Long LON CORP US N 2 2023-06-01 Variable 0.00000000 N N N N N N HARLAND CLARKE HLDGS CORP 549300J73P7FL8TVF308 181593AN4 2743157.85500000 PA USD 2157959.99000000 0.007476276464 Long LON CORP US N 2 2023-11-03 Variable 0.06463130 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178FBC9 263885.92750000 PA USD 275186.53000000 0.000953386803 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293LSQ8 1138.02470000 PA USD 1292.38000000 0.000004477464 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKU45 184495.55700000 PA USD 199150.65000000 0.000689959649 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AY4Z9 16936.20050000 PA USD 18450.01000000 0.000063920265 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JMMF3 119499.71200000 PA USD 129494.97000000 0.000448636768 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N GS MTG SECS TR 2012-GCJ7 N/A 36192KAC1 2561000.00000000 PA USD 2595973.27000000 0.008993778361 Long ABS-MBS CORP US N 2 2045-05-10 Variable 0.05685561 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374QPN9 62.46500000 PA USD 62.76000000 0.000000217432 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N HALLIBURTON CO ENYF8GB5SMQZ25S06U51 406216BG5 6237000.00000000 PA USD 6840603.64000000 0.023699347641 Long DBT CORP US N 2 2025-11-15 Fixed 0.03800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGBU7 3391263.73620000 PA USD 3674248.76000000 0.012729475828 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2013-C10 N/A 46651EAN4 1071000.00000000 PA USD 1144704.83000000 0.003965842656 Long ABS-MBS CORP US N 2 2039-06-05 Variable 0.03782800 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212HGQ7 794.47530000 PA USD 925.64000000 0.000003206890 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176QVE1 15585.17870000 PA USD 16987.03000000 0.000058851754 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 N/A 4020000.00000000 PA 5218671.07000000 0.018080144154 Long EP CORP GB N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ET2P0 1656443.01150000 PA USD 1787418.46000000 0.006192531199 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394EB64 18283.92210000 PA USD 24266.29000000 0.000084070832 Long ABS-CBDO USGSE US N 2 2035-08-25 Variable 0.13320450 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L6FE6 56294.09510000 PA USD 61708.54000000 0.000213789925 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204UKG5 285.97440000 PA USD 316.92000000 0.000001097972 Long ABS-MBS USGA US N 2 2025-06-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312940C49 9128.93510000 PA USD 9960.97000000 0.000034509891 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCEA0 42636920.84200000 PA USD 46034883.04000000 0.159488365971 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J86L9 330287.51950000 PA USD 347590.79000000 0.001204232170 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ATJ7 13923433.61850000 PA USD 14988122.39000000 0.051926517264 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N ALLIANT HLDGS INTERMEDIATE LLC 5493006Q26653NF8SI73 01881UAE5 3389740.52000000 PA USD 3316284.84000000 0.011489305832 Long LON CORP US N 2 2025-05-10 Variable 0.04603380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224FE48 60.47890000 PA USD 63.41000000 0.000000219684 Long ABS-MBS USGA US N 2 2023-04-15 Fixed 0.07000000 N N N N N N WFRBS COML MTG TR 2014-C24 N/A 92939KAH1 19205198.85550000 PA USD 593577.00000000 0.002056454139 Long ABS-MBS CORP US N 2 2047-11-15 Variable 0.00836924 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128HD4K2 893.97380000 PA USD 939.38000000 0.000003254492 Long ABS-MBS USGSE US N 2 2033-03-01 Variable 0.04723000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213R6S1 775.40390000 PA USD 899.43000000 0.000003116085 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295R5Q7 117730.06870000 PA USD 129790.03000000 0.000449659007 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N EL SALVADOR REPUBLIC OF 529900AKDMUSFSDOM949 283875AK8 1125000.00000000 PA USD 1227304.69000000 0.004252010793 Long DBT NUSS SV N 2 2023-01-24 Fixed 0.07750000 N N N N N N COMM 2014-CCRE17 MTG TR N/A 12631DAJ2 255000.00000000 PA USD 252228.25000000 0.000873847586 Long ABS-MBS CORP US N 2 2047-05-10 Variable 0.04847636 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193GFF7 1905413.65550000 PA USD 2032047.83000000 0.007040052381 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XVK77 1998120.58700000 PA USD 2163452.88000000 0.007495306643 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J66H2 460175.06400000 PA USD 491624.53000000 0.001703238669 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N PRUDENTIAL FINL INC 5PRBRS5FEH7NREC8OR45 744320AV4 11144000.00000000 PA USD 12167910.72000000 0.042155862464 Long DBT CORP US N 2 2045-05-15 Variable 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407JJG8 330.38350000 PA USD 338.78000000 0.000001173707 Long ABS-MBS USGSE US N 2 2021-12-01 Fixed 0.05500000 N N N N N N AMC ENTERTAINMENT HOLDING INC 549300ZO77UNR6NRBR11 00164DAQ6 2481250.00000000 PA USD 2395969.44000000 0.008300862860 Long LON CORP US N 2 2026-04-22 Variable 0.04610000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296U6W5 6536.06820000 PA USD 7305.05000000 0.000025308427 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293NPA2 1462.36860000 PA USD 1635.25000000 0.000005665341 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407VUQ6 20589.83870000 PA USD 24338.27000000 0.000084320207 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206LBV0 419.69660000 PA USD 433.02000000 0.000001500202 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.08000000 N N N N N N DEVELOPMENT BANK OF MONGOLIA 254900HRWK3OKXS9UW60 25161AAA7 436000.00000000 PA USD 463386.25000000 0.001605406833 Long DBT CORP MN N 2 2023-10-23 Fixed 0.07250000 N N N N N N CAMEROON REPUBLIC OF 54930021BO6NHYGBBV24 133653AA3 3871000.00000000 PA USD 4337939.38000000 0.015028839386 Long DBT NUSS CM N 2 2025-11-19 Fixed 0.09500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31415PMW5 15774.02910000 PA USD 17807.51000000 0.000061694317 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201CVW1 620.55040000 PA USD 725.63000000 0.000002513953 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206SXF6 61.60490000 PA USD 62.08000000 0.000000215076 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312944NM9 40177.54220000 PA USD 43826.87000000 0.000151838680 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ACZ0 2136227.79540000 PA USD 2322647.21000000 0.008046837176 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402NYC6 125172.12680000 PA USD 136914.15000000 0.000474340600 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.04500000 N N N N N N SEVERIN ACQUISITION LLC 549300L10R4RABI1ER67 81812HAB6 1447380.00000000 PA USD 1414813.95000000 0.004901638716 Long LON CORP US N 2 2025-08-01 Variable 0.04741630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MAG93 159757.91910000 PA USD 170595.69000000 0.000591030671 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2013-LC11 N/A 46639YAW7 1025000.00000000 PA USD 1060511.23000000 0.003674152990 Long ABS-MBS CORP US N 2 2046-04-15 Variable 0.03958200 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W7D84 211565.18060000 PA USD 218898.56000000 0.000758376503 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293HYQ0 2071.74630000 PA USD 2347.20000000 0.000008131900 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASDX4 28045.07700000 PA USD 31186.87000000 0.000108047259 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J6EZ6 3318152.26000000 PA USD 3432130.79000000 0.011890655419 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 0.02500000 N N N N N N MATADOR BIDCO SARL 549300CNVJU6794GIZ49 N/A 125000.00000000 PA USD 124570.00000000 0.000431574155 Long LON CORP LU N 2 2026-10-15 Variable 0.00000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208EWS8 761.35220000 PA USD 859.53000000 0.000002977851 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AWS5 3750.04880000 PA USD 3993.13000000 0.000013834243 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GLV6 361659.39370000 PA USD 383369.37000000 0.001328187460 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194A5E3 116937.34600000 PA USD 125220.63000000 0.000433828269 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409JKT6 69142.06480000 PA USD 72109.55000000 0.000249824340 Long ABS-MBS USGSE US N 2 2036-05-01 Variable 0.04484000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417N3E9 15619.82160000 PA USD 17309.63000000 0.000059969406 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04500000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 89364MBQ6 2361122.69000000 PA USD 2303582.13000000 0.007980785993 Long LON CORP US N 2 2025-05-30 Variable 0.03853380 N N N N N N AMR HMS 15-SFR2 N/A 02666BAE6 1118000.00000000 PA USD 1260467.86000000 0.004366904965 Long ABS-CBDO CORP US N 2 2052-10-17 Fixed 0.06070000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7DP5 3405.90140000 PA USD 3788.92000000 0.000013126755 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.07000000 N N N N N N TALEN ENERGY SUPPLY LLC K5K33XN0PQAU1XF7NN66 87422VAE8 2010000.00000000 PA USD 1788900.00000000 0.006197664011 Long DBT CORP US N 2 2026-01-15 Fixed 0.10500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31380DFW1 1609.96490000 PA USD 1725.69000000 0.000005978672 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418MXR8 309946.83180000 PA USD 360458.80000000 0.001248813534 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N CUI ACQUISITION CORP N/A N/A 0.76500000 NS USD 34599.53000000 0.000119870457 Long EC CORP US N 3 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178EAJ8 578707.71770000 PA USD 614237.25000000 0.002128031806 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XXNS4 2159377.31800000 PA USD 2269165.24000000 0.007861548294 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178WGJ2 38025.99890000 PA USD 41291.88000000 0.000143056179 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132A9UK1 1513254.75800000 PA USD 1569346.12000000 0.005437017144 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HPXJ8 80981.08610000 PA USD 87648.26000000 0.000303658374 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N NAVEX TOPCO INC N/A 63941EAC3 1271141.34000000 PA USD 1246913.39000000 0.004319945353 Long LON CORP US N 2 2025-09-04 Variable 0.04860000 N N N N N N ELDORADO RESORTS INC 5299000BKFWWVND5L441 28470RAG7 615000.00000000 PA USD 667275.00000000 0.002311781683 Long DBT CORP US N 2 2026-09-15 Fixed 0.06000000 N N N N N N BRASKEM IDESA SAPI YH0V7ZHY352ITDGEYB83 10554NAA6 1075000.00000000 PA USD 1073376.75000000 0.003718725727 Long DBT CORP MX N 2 2029-11-15 Fixed 0.07450000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292HF33 50.94770000 PA USD 59.88000000 0.000000207454 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M7LH9 35936.24470000 PA USD 39302.80000000 0.000136164989 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.04500000 N N N N N N TELEFONICA EUROPE BV 7245007FZS0M65WUGP67 N/A 4100000.00000000 PA 4573240.25000000 0.015844041876 Long EP CORP NL N 2 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213VTY4 2120.49030000 PA USD 2474.49000000 0.000008572898 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N MTS INTL FDG LTD 2534008FX8EXH1FMJA74 55377WAB4 349000.00000000 PA USD 371685.00000000 0.001287706829 Long DBT CORP IE N 2 2023-05-30 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKPG4 228932.66200000 PA USD 247403.70000000 0.000857132879 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 0.04500000 N N N N N N USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP 549300ZWL4J1LYMOWK56 91740PAF5 1210000.00000000 PA USD 1172248.00000000 0.004061266276 Long DBT CORP US N 2 2027-09-01 Fixed 0.06875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2A77 7277396.78800000 PA USD 7742860.54000000 0.026825226739 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296Q4S5 31876.42510000 PA USD 35626.74000000 0.000123429238 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N HILTON USA TR 2016-SFP N/A 43289VAS2 2130000.00000000 PA USD 2146821.89000000 0.007437688393 Long ABS-MBS CORP US N 2 2035-11-05 Fixed 0.06155223 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206SYZ1 1353.83730000 PA USD 1492.45000000 0.000005170609 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JJS8 22623.33510000 PA USD 24594.04000000 0.000085206326 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292GM86 83.16200000 PA USD 91.78000000 0.000000317972 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201HJS3 491.57830000 PA USD 571.49000000 0.000001979933 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N UNITED PF HOLDINGS LLC N/A N/A 500000.00000000 PA USD 500000.00000000 0.001732255579 Long LON CORP US N 3 2027-12-30 Variable 0.10103380 N N N N N N NISOURCE FIN CORP ZHUWIE4VK4MIYES0UG62 65473QAX1 7538000.00000000 PA USD 10400397.20000000 0.036032292152 Long DBT CORP US N 2 2041-06-15 Fixed 0.05950000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224VAN5 2204.42170000 PA USD 2321.72000000 0.000008043624 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312941GX9 43872.46350000 PA USD 49204.10000000 0.000170468153 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203UK43 98.45060000 PA USD 107.18000000 0.000000371326 Long ABS-MBS USGA US N 2 2024-05-15 Fixed 0.07500000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 4200000.00000000 NC -94031.90000000 -0.00032577456 N/A DCR CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 GAS NATURAL CAPITAL MARKETS SA GAS NAT CAP EMTN 4.5% 1/27/20 Y 2022-06-20 0.00000000 EUR 57068.97000000 EUR 4200000.00000000 EUR -41861.55000000 N N N GLOBAL PARTNERS LP / GLP FIN CORP N/A 37954FAG9 3700000.00000000 PA USD 3826928.50000000 0.013258436490 Long DBT CORP US N 2 2027-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410Q5V9 666.35900000 PA USD 678.49000000 0.000002350636 Long ABS-MBS USGSE US N 2 2021-10-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMXK4 304559.63000000 PA USD 315982.66000000 0.001094725451 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211XVC7 801.28510000 PA USD 917.16000000 0.000003177511 Long ABS-MBS USGA US N 2 2030-05-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402G2B8 90817.76550000 PA USD 99512.04000000 0.000344760572 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JPX49 411027.55000000 PA USD 445406.92000000 0.001543117244 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N PETROLEOS DE VENEZUELA SA 549300YWR8TN1OFD4P06 716558AF8 2790167.00000000 PA USD 283201.95000000 0.000981156315 Long DBT CORP VE N 2 2026-11-15 Fixed 0.06000000 Y Y N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389DTC1 9416.24180000 PA USD 10975.64000000 0.000038025227 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HRMM9 956403.24060000 PA USD 1020570.63000000 0.003535778335 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401WGN3 5433.40640000 PA USD 6467.55000000 0.000022406899 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.07000000 N N N N N N KINDER MORGAN INC DEL 549300WR7IX8XE0TBO16 49456BAA9 6757000.00000000 PA USD 6935463.99000000 0.024027992382 Long DBT CORP US N 2 2021-02-15 Fixed 0.05000000 N N N N N N LAMB WESTON HOLDINGS INC 5493005SMYID1D2OY946 513272AB0 991000.00000000 PA USD 1028212.05000000 0.003562252120 Long DBT CORP US N 2 2026-11-01 Fixed 0.04875000 N N N N N N UPGRADE RECEIVABLES TRUST 2019-1 549300W601N3GF6G0630 91532HAA6 2495381.94000000 PA USD 2503973.04000000 0.008675042537 Long ABS-CBDO CORP US N 2 2025-03-15 Fixed 0.03480000 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 42809HAG2 3221000.00000000 PA USD 3396156.72000000 0.011766022852 Long DBT CORP US N 2 2027-04-01 Fixed 0.04300000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213JV85 583.71960000 PA USD 650.58000000 0.000002253941 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N CEDAR FUNDING LTD 549300ZKTUZSV15HAV29 15033XAA4 16659000.00000000 PA USD 16660665.90000000 0.057721062918 Long ABS-CBDO CORP KY N 2 2032-10-20 Variable 0.03470540 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AN4 1905000.00000000 PA USD 1991125.05000000 0.006898274953 Long DBT CORP US N 2 2028-01-15 Fixed 0.05625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138APXW3 48053.45590000 PA USD 52201.82000000 0.000180853787 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213VWM6 1849.66760000 PA USD 2146.74000000 0.000007437404 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJBV1 35889.67610000 PA USD 40268.48000000 0.000139510598 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.05000000 N N N N N N WEINGARTEN REALTY INVESTORS 549300JMKTJNB8GWHU88 948741AH6 1739000.00000000 PA USD 1798019.87000000 0.006229259902 Long DBT CORP US N 2 2022-10-15 Fixed 0.03375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209LMH6 814.78930000 PA USD 938.87000000 0.000003252725 Long ABS-MBS USGA US N 2 2031-01-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31298CD48 549.06220000 PA USD 618.21000000 0.000002141795 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 0.08000000 N N N N N N JPMCC COML MTG SECS TR 2016-JP4 N/A 46645UAC1 1251000.00000000 PA USD 1187422.18000000 0.004113837392 Long ABS-MBS CORP US N 2 2049-12-15 Variable 0.03438506 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JPKP6 214424.13950000 PA USD 225657.50000000 0.000781792926 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828XB1 1465300.00000000 PA USD 1552645.62000000 0.005379158075 Long DBT UST US N 2 2025-05-15 Fixed 0.02125000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 N/A 2150000.00000000 PA 2427368.09000000 0.008409643833 Long DBT CORP DK N 2 2022-05-24 Fixed 0.01375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EDEK3 828057.04970000 PA USD 900518.50000000 0.003119856391 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404NMS2 48176.42250000 PA USD 52690.01000000 0.000182545127 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N WFRBS COML MTG TR 2013-C13 N/A 92937UAJ7 580000.00000000 PA USD 600451.09000000 0.002080269501 Long ABS-MBS CORP US N 2 2045-05-15 Variable 0.04139023 N N N N N N COMM 2012-CCRE1 MTG TR N/A 12624BAS5 774000.00000000 PA USD 661717.60000000 0.002292528008 Long ABS-MBS CORP US N 2 2045-05-15 Fixed 0.02462000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128HD5G0 123782.11220000 PA USD 129245.46000000 0.000447772338 Long ABS-MBS USGSE US N 2 2033-06-01 Variable 0.04828000 N N N N N N FORD MTR CR CO LLC UDSQCVRUX5BONN0VY111 345397ZM8 19922000.00000000 PA USD 21020133.51000000 0.072824487098 Long DBT CORP US N 2 2022-01-07 Fixed 0.05596000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417E6A4 73744.33000000 PA USD 80855.71000000 0.000280125509 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 0.04500000 N N N N N N FLY LEASING LTD 549300LI58A0MHGHTZ98 34407DAC3 10223000.00000000 PA USD 10478575.00000000 0.036303140012 Long DBT CORP BM N 2 2024-10-15 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AXFN6 3223987.74970000 PA USD 3500293.82000000 0.012126806997 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200TWS3 10193.48280000 PA USD 11519.57000000 0.000039909678 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 0.05500000 N N N N N N UPSTREAM NEWCO INC 549300Q4K2W4R1EBTH48 91678HAB8 1625000.00000000 PA USD 1592500.00000000 0.005517234019 Long LON CORP US N 2 2026-11-20 Variable 0.06145250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413RJ80 27587.23400000 PA USD 32518.10000000 0.000112659320 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 0.06000000 N N N N N N HOME PARTNERS AMER 2017-1 TR N/A 43730TAJ2 231000.00000000 PA USD 231592.31000000 0.000802354142 Long ABS-CBDO CORP US N 2 2034-07-17 Variable 0.04308500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307RAA3 5121586.33900000 PA USD 5309233.58000000 0.018393898980 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 0.02500000 N N N N N N WFRBS COML MTG TR 2011-C4 N/A 92936CAW9 474000.00000000 PA USD 485279.68000000 0.001681256866 Long ABS-MBS CORP US N 2 2044-06-15 Variable 0.05229695 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390DNW0 2306.92860000 PA USD 2716.68000000 0.000009411968 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07000000 N N N N N N CANISTER INTERNATIONAL GROUP N/A 13763HAB8 750000.00000000 PA USD 748125.00000000 0.002591887410 Long LON CORP US N 2 2026-12-21 Variable 0.06353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FC3C0 269507.72200000 PA USD 286864.34000000 0.000993844706 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N AFFILIATED MANAGERS GRP INC 2JE75BUE3T1BLCYYGK54 008252AM0 9340000.00000000 PA USD 10148067.19000000 0.035158092016 Long DBT CORP US N 2 2024-02-15 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVQP0 13722.02850000 PA USD 15127.68000000 0.000052410016 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N ZEKELMAN INDUSTRIES INC 549300S5LMRAKDWWI425 98931YAC7 2000000.00000000 PA USD 1957500.00000000 0.006781780592 Long LON CORP US N 2 2027-01-24 Variable 0.03853380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176HTF1 61717.83250000 PA USD 65776.99000000 0.000227885115 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379KE58 30.09590000 PA USD 34.25000000 0.000000118659 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.07500000 N N N N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3133T4DV5 23030.69420000 PA USD 23138.65000000 0.000080164111 Long ABS-CBDO USGSE US N 2 2024-02-15 Variable 0.02576250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A56F1 20983.40330000 PA USD 23185.35000000 0.000080325903 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180HB23 57160.36230000 PA USD 60598.25000000 0.000209943313 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03500000 N N N N N N CROWN AMERICAS LLC / CROWN AMERICAS CAPITAL CORP V N/A 22819KAB6 3408000.00000000 PA USD 3507871.44000000 0.012153059746 Long DBT CORP US N 2 2026-09-30 Fixed 0.04250000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NX52 153534.65120000 PA USD 163162.84000000 0.000565279479 Long ABS-MBS USGA US N 2 2044-01-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402LLB6 128491.20970000 PA USD 140343.73000000 0.000486222418 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 67053NAK0 4879394.89800000 PA USD 4690318.35000000 0.016249660260 Long LON CORP FR N 2 2025-07-31 Variable 0.04353380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WGQ67 383924.95610000 PA USD 409083.52000000 0.001417274419 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NBW4 3788.03160000 PA USD 4182.83000000 0.000014491461 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 0.06500000 N N N N N N CSMC 2019-ICE4 N/A 12653VAA4 46000000.00000000 PA USD 45999949.40000000 0.159367337985 Long ABS-MBS CORP US N 2 2036-05-15 Variable 0.02638500 N N N N N N NRG YIELD OPERATING LLC 549300Z3NFMM54NWBB87 62943WAE9 4423000.00000000 PA USD 4530501.02000000 0.015695971337 Long DBT CORP US N 2 2026-09-15 Fixed 0.05000000 N N N N N N CSMC SER 2014-3R N/A 12648GAJ6 149475.80830000 PA USD 0.01000000 0.000000000034 Long ABS-CBDO CORP US N 2 2037-05-27 Variable 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YNA49 211433.54540000 PA USD 228349.88000000 0.000791120707 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N HORIZON AIRCRAFT FINANCE LTD N/A 44040HAA0 9988730.72000000 PA USD 10226940.97000000 0.035431351107 Long ABS-CBDO CORP US N 2 2039-07-15 Fixed 0.03721000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946LH7 66828.29990000 PA USD 73945.11000000 0.000256183658 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203HG47 136.33790000 PA USD 143.59000000 0.000000497469 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295SB54 1860.37120000 PA USD 2165.46000000 0.000007502260 Long ABS-MBS USGA US N 2 2037-11-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615UT1 1230.96340000 PA USD 1326.96000000 0.000004597267 Long ABS-MBS USGSE US N 2 2024-03-01 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38374F2L7 604892.03080000 PA USD 676452.69000000 0.002343577892 Long ABS-CBDO USGA US N 2 2034-04-20 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375AL98 229.73780000 PA USD 257.49000000 0.000000892076 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419K7H2 16415.39450000 PA USD 17847.90000000 0.000061834248 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203R6N4 556.09120000 PA USD 604.52000000 0.000002094366 Long ABS-MBS USGA US N 2 2024-06-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C06A1 4431.13860000 PA USD 4866.59000000 0.000016860355 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N OREGON CLEAN ENERGY LLC 549300F5O4JADXBZO874 68583LAF2 851075.95000000 PA USD 850548.28000000 0.002946734006 Long LON CORP US N 2 2026-03-01 Variable 0.05353380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293TDU8 446.67920000 PA USD 501.85000000 0.000001738664 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N VERTAFORE INC N/A 92531SAZ6 7303614.49000000 PA USD 7122192.71000000 0.024674916116 Long LON CORP US N 2 2025-07-02 Variable 0.04853380 N N N N N N EWT HOLDINGS III CORP 5493007CXSSB57GCEB24 92938NAG8 1891225.23000000 PA USD 1877835.36000000 0.006505781558 Long LON CORP US N 2 2024-12-20 Variable 0.04645250 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L7RM3 2003259.05800000 PA USD 2163304.43000000 0.007494792336 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E2SX4 24458.53520000 PA USD 26644.71000000 0.000092310895 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207EUP7 299.41460000 PA USD 338.02000000 0.000001171074 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128283W8 96082900.00000000 PA USD 108359742.66000000 0.375413537575 Long DBT UST US N 2 2028-02-15 Fixed 0.02750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291WGR6 5244.60840000 PA USD 6123.67000000 0.000021215523 Long ABS-MBS USGA US N 2 2035-03-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209LMQ6 791.85800000 PA USD 916.91000000 0.000003176644 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 0.07000000 N N N N N N STARS GROUP HOLDINGS BV 549300RNFXC8F8RT6R13 N/A 7577301.60500000 PA USD 7551235.69000000 0.026161340308 Long LON CORP NL N 2 2025-07-10 Variable 0.05444630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ATRX0 7972.80280000 PA USD 8812.90000000 0.000030532390 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C9 549300PFVBG5704L7K74 61762DAJ0 722000.00000000 PA USD 728379.81000000 0.002523479979 Long ABS-MBS CORP US N 2 2046-05-15 Variable 0.04122206 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SAQ6 11887000.00000000 PA USD 12373397.73000000 0.042867774503 Long DBT CORP US N 2 2043-05-02 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YPCL4 486059.05620000 PA USD 520551.61000000 0.001803456861 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178EMH9 19250.51540000 PA USD 20771.51000000 0.000071963128 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.04000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DK8 30708000.00000000 PA USD 29321601.05000000 0.101585014022 Long DBT CORP US N 2 2044-07-15 Fixed 0.04500000 N N N N N N UKRAINE CABINET OF MINISTERS 6354001WLTJXOMEXPY07 903724AT9 640000.00000000 PA USD 700800.00000000 0.002427929419 Long DBT NUSS UA N 2 2026-09-01 Fixed 0.07750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207WW59 1090.94670000 PA USD 1236.90000000 0.000004285253 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224UDA2 422.04570000 PA USD 445.27000000 0.000001542642 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N VOYA CLO 2019-2 LLC N/A 92917RAC3 23497000.00000000 PA USD 23508748.50000000 0.081446321500 Long ABS-CBDO CORP KY N 2 2032-07-20 Variable 0.03089130 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31356N5T7 184.59410000 PA USD 205.25000000 0.000000711090 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 0.08500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F032633 -281750000.00000000 PA USD -292573708.00000000 -1.01362487604 Short ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386STY3 780.14570000 PA USD 885.40000000 0.000003067478 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.07000000 N N N N N N TRANSPORTADORA DE GAS DEL SUR 5299002TRC7IFQYSW596 893870AX3 1363000.00000000 PA USD 1178995.00000000 0.004084641333 Long DBT CORP AR N 2 2025-05-02 Fixed 0.06750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386WNA2 1265.21670000 PA USD 1474.50000000 0.000005108421 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 0.07000000 N N N N N N ITAU UNIBANCO HOLDING SA CAYMAN ISLAND BRANCH BZO2P8KHO2O10H5QQ663 46556MAE2 624000.00000000 PA USD 655980.00000000 0.002272650029 Long DBT CORP KY N 2 2021-12-21 Fixed 0.06200000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210T6H4 1787.49980000 PA USD 2022.57000000 0.000007007216 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N HASBRO INC 549300NUB6D2R1ITYR45 418056AW7 7080000.00000000 PA USD 7284782.77000000 0.025238211193 Long DBT CORP US N 2 2022-11-19 Fixed 0.02600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407QGZ3 450.28830000 PA USD 531.60000000 0.000001841734 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31415PAJ7 5360.93040000 PA USD 5564.60000000 0.000019278618 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 0.05000000 N N N N N N JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC N/A 46590XAB2 4445000.00000000 PA USD 4690852.95000000 0.016251512388 Long DBT CORP US N 2 2030-01-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128LCNC6 6447.43230000 PA USD 7304.88000000 0.000025307838 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MFWM6 14018637.03700000 PA USD 14881892.09000000 0.051558481205 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419L3N1 485000.24600000 PA USD 527324.13000000 0.001826920332 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HDSY1 52200082.96700000 PA USD 54012276.71000000 0.187126135356 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 0.03000000 N N N N N N UFC HOLDINGS LLC 549300JEOTH7UMZ3C491 90266UAF0 1009781.50000000 PA USD 996401.90000000 0.003452045500 Long LON CORP US N 2 2026-04-29 Variable 0.04860000 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 42809HAD9 5395000.00000000 PA USD 5831575.27000000 0.020203557594 Long DBT CORP US N 2 2041-02-15 Fixed 0.05600000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SEH6 9661793.21130000 PA USD 10210319.30000000 0.035373765146 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N CITIGROUP COML MTG TR 2015-GC33 N/A 29425AAK9 56440742.35050000 PA USD 2403805.57000000 0.008328011220 Long ABS-MBS CORP US N 2 2058-09-10 Variable 0.00894245 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410EM88 23251.88920000 PA USD 24245.06000000 0.000083997280 Long ABS-MBS USGSE US N 2 2036-06-01 Variable 0.04345000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401KY90 8897.06220000 PA USD 10233.73000000 0.000035454871 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404UBD1 32491.03880000 PA USD 35655.91000000 0.000123530298 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 0.04500000 N N N N N N GS MTG SECS TR 2010-C1 N/A 36249KAE0 2321393.74270000 PA USD 4082.40000000 0.000014143520 Long ABS-MBS CORP US N 2 2043-08-10 Variable 0.01322475 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208UUS4 294.03180000 PA USD 325.68000000 0.000001128321 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402GS38 130725.72810000 PA USD 142763.23000000 0.000494604803 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410KPS7 59332.94030000 PA USD 70453.45000000 0.000244086763 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 0.06000000 N N N N N N WR GRACE and CO - CONN 549300GJVOEHHLSO6K25 92940JAB4 468282.88000000 PA USD 462429.34000000 0.001602091608 Long LON CORP US N 2 2025-04-03 Variable 0.03694630 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C31 N/A 61766RAJ5 772000.00000000 PA USD 680573.04000000 0.002357852891 Long ABS-MBS CORP US N 2 2049-11-15 Variable 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EM4F5 136816.54940000 PA USD 149537.11000000 0.000518072986 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.04500000 N N N N N N AZERBAIJAN REP N/A 05477LAA4 910000.00000000 PA USD 972562.50000000 0.003369453633 Long DBT NUSS AZ N 2 2024-03-18 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KYJ4 413.78830000 PA USD 488.06000000 0.000001690889 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VD0 25134947.27500000 PA USD 26357239.65000000 0.091314950874 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.03000000 N N N N N N RACKSPACE HOSTING INC 549300QTYCKLMFSE8I97 75008QAL0 2951445.01000000 PA USD 2812372.92000000 0.009743497363 Long LON CORP US N 2 2023-11-03 Variable 0.04763190 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36202WKA6 11435.13470000 PA USD 12565.62000000 0.000043533730 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 0.05000000 N N N N N N CHEMOURS CO 549300M1BOLNXL8DOV14 163851AD0 2595000.00000000 PA USD 2419837.50000000 0.008383554020 Long DBT CORP US N 2 2025-05-15 Fixed 0.07000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2020-NNN N/A 46652BBL2 723000.00000000 PA USD 759018.49000000 0.002629628028 Long ABS-MBS CORP US N 2 2037-01-16 Fixed 0.03972000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MFGH4 16490.70750000 PA USD 17794.94000000 0.000061650768 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2014-150E N/A 61764BAS2 734000.00000000 PA USD 772886.95000000 0.002677675462 Long ABS-MBS CORP US N 2 2032-09-09 Variable 0.04295030 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AGQP3 20306.08320000 PA USD 22657.05000000 0.000078495602 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406XLW0 746.73390000 PA USD 858.11000000 0.000002972931 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.06000000 N N N N N N C and W SENIOR FINANCING DESIGNATED ACTIVITY COMPANY 5493009O8OIWZPZRY516 12674TAB2 12845000.00000000 PA USD 13487250.00000000 0.046726728122 Long DBT CORP IE N 2 2026-10-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QPD27 15327.88000000 PA USD 16188.36000000 0.000056084753 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208VGM1 638.95290000 PA USD 707.09000000 0.000002449721 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TK2P4 415170.32880000 PA USD 462009.80000000 0.001600638107 Long ABS-CBDO USGSE US N 2 2029-03-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374NA93 355.52900000 PA USD 389.64000000 0.000001349912 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N FLEXERA SOFTWARE LLC FHBIRN3K4PSRU4ZOQQ49 N/A 357142.86000000 PA USD 356250.00000000 0.001234232100 Long LON CORP US N 2 2025-02-26 Variable 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376JS59 2396.35820000 PA USD 2800.30000000 0.000009701670 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407XFG1 9715.75460000 PA USD 11482.24000000 0.000039780348 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296Q2U2 6520.03760000 PA USD 7287.13000000 0.000025246343 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.05000000 N N N N N N COMM 2019-521F MTG TR N/A 20048GAN6 1260000.00000000 PA USD 1255742.33000000 0.004350533314 Long ABS-MBS CORP US N 2 2034-06-15 Variable 0.04052500 N N N N N N CEETRUS SA 5493007LOTJ0I8E94R81 N/A 1900000.00000000 PA 2265456.41000000 0.007848699011 Long DBT CORP FR N 2 2026-11-26 Fixed 0.02750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205W4L7 141.91650000 PA USD 156.23000000 0.000000541260 Long ABS-MBS USGA US N 2 2024-11-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402HJZ5 116501.67490000 PA USD 127257.95000000 0.000440886587 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31388LYN4 206.83270000 PA USD 240.73000000 0.000000834011 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224P6N3 415.61790000 PA USD 442.16000000 0.000001531868 Long ABS-MBS USGA US N 2 2023-02-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BX37 89268.32620000 PA USD 98482.66000000 0.000341194274 Long ABS-MBS USGA US N 2 2033-05-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384HGY3 1394.58880000 PA USD 1619.88000000 0.000005612092 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132A9UF2 2379745.96600000 PA USD 2471673.65000000 0.008563140940 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.03000000 N N N N N N MORGAN STANLEY CAP I TR 2015-UBS8 N/A 61691AAQ6 883000.00000000 PA USD 819195.39000000 0.002838111569 Long ABS-MBS CORP US N 2 2048-12-15 Fixed 0.03180000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31369XWD5 467.33730000 PA USD 498.65000000 0.000001727578 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179UCB6 17576377.12900000 PA USD 18490076.31000000 0.064059075697 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206FRZ7 46.48830000 PA USD 50.68000000 0.000000175581 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N UBS-BAMLL TR 2012-WRM N/A 90269PAJ0 110000.00000000 PA USD 112329.04000000 0.000389165212 Long ABS-MBS CORP US N 2 2030-06-10 Variable 0.04238000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RCL4 7195000.00000000 PA USD 7201931.66000000 0.024951172598 Long DBT CORP US N 2 2020-06-30 Fixed 0.02450000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AX5 9531000.00000000 PA USD 10031377.50000000 0.034753819283 Long DBT CORP US N 2 2025-07-15 Fixed 0.07750000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QGD7 140494.53800000 PA USD 150882.37000000 0.000522733654 Long ABS-MBS USGA US N 2 2044-06-20 Fixed 0.04000000 N N N N N N GS MTG SECS CORP TR 2016-RENT N/A 36251GAQ7 3434000.00000000 PA USD 3452462.21000000 0.011961093850 Long ABS-MBS CORP US N 2 2029-02-10 Variable 0.04066669 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408JF48 10248.45520000 PA USD 11285.21000000 0.000039097735 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7HH8 69355.06760000 PA USD 75221.12000000 0.000260604409 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JMYC7 284675.26250000 PA USD 306778.16000000 0.001062836358 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N GS MTG SECS CORP TR 2018-HART N/A 36259DAA1 10027000.00000000 PA USD 10034689.71000000 0.034765294472 Long ABS-MBS CORP US N 2 2031-10-15 Variable 0.02748500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A9KH6 47573.98390000 PA USD 51703.26000000 0.000179126521 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402LLF7 80851.58740000 PA USD 88525.50000000 0.000306697582 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QHZQ6 30646.19230000 PA USD 32036.95000000 0.000110992370 Long ABS-MBS USGSE US N 2 2037-08-01 Variable 0.04083000 N N N N N N VICTORY CAPITAL HOLDINGS INC 549300BN5LH2CIPPHS71 92645DAG4 1562409.09000000 PA USD 1540925.97000000 0.005338555217 Long LON CORP US N 2 2026-07-01 Variable 0.04155000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AN6A3 45699.95710000 PA USD 50381.34000000 0.000174546714 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WDFF6 551041.47320000 PA USD 581631.71000000 0.002015069549 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405QTT5 63644.65740000 PA USD 70082.69000000 0.000242802261 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9CN8 238441.26540000 PA USD 257671.84000000 0.000892706964 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31395NEN3 99349.04940000 PA USD 92032.10000000 0.000318846237 Long ABS-CBDO USGSE US N 2 2036-06-25 Fixed 0.00000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DRX1 25755.32390000 PA USD 29854.14000000 0.000103430001 Long ABS-MBS USGA US N 2 2032-02-20 Fixed 0.07000000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBE7 5755000.00000000 PA USD 5933117.25000000 0.020555350917 Long DBT CORP US N 2 2024-07-15 Fixed 0.04625000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BNE8 2617277.67220000 PA USD 2625355.90000000 0.009095574810 Long ABS-CBDO USGA US N 2 2061-10-20 Variable 0.02334380 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2013-LC11 N/A 46639YAE7 1851000.00000000 PA USD 883296.27000000 0.003060189783 Long ABS-MBS CORP US N 2 2046-04-15 Variable 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NQG3 6010.32620000 PA USD 6691.28000000 0.000023182014 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401XPT8 135240.65970000 PA USD 147937.86000000 0.000512532366 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178W7C7 487901.68420000 PA USD 512399.33000000 0.001775213196 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208WFY4 1349.30340000 PA USD 1528.08000000 0.000005294050 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AVLE3 16729.29800000 PA USD 18224.61000000 0.000063139364 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BDY1 235.09510000 PA USD 265.06000000 0.000000918303 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVQW5 54908.50400000 PA USD 60533.19000000 0.000209717912 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3129342K7 5944.33090000 PA USD 6590.37000000 0.000022832410 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.04500000 N N N N N N BOSTON PROPERTIES INC 549300OF70FSEUQBT254 101121408 11150.00000000 NS USD 280645.50000000 0.000972299466 Long EP CORP US N 1 N N N BANK 2019-BN18 N/A 065402AJ8 336000.00000000 PA USD 319762.36000000 0.001107820264 Long ABS-MBS CORP US N 2 2062-05-15 Fixed 0.03000000 N N N N N N WEX INC T9M5IGROL1TL1G5OV478 96208UAP6 1993710.20000000 PA USD 1967134.04000000 0.006815157831 Long LON CORP US N 2 2026-05-17 Variable 0.03853380 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828YG9 683928000.00000000 PA USD 709735599.04000000 2.458886902443 Long DBT UST US N 2 2026-09-30 Fixed 0.01625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383QW34 1321.82160000 PA USD 1548.44000000 0.000005364587 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209BS74 822.99070000 PA USD 932.85000000 0.000003231869 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GCA6 4664.90820000 PA USD 5354.53000000 0.000018550828 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.07500000 N N N N N N CAST and CREW PAYROLL LLC 549300XE7OZGFGN5F466 14835JAN0 1191000.00000000 PA USD 1174623.75000000 0.004069497088 Long LON CORP US N 2 2026-02-07 Variable 0.05610000 N N N N N N EGYPT, (ARAB) REP OF 529900GFIVH4086NMH82 03846JW22 410000.00000000 PA USD 429987.50000000 0.001489696491 Long DBT NUSS EG N 2 2025-06-11 Fixed 0.05875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QUWP4 890055.51660000 PA USD 961442.42000000 0.003330927992 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206E4N2 133.11980000 PA USD 145.95000000 0.000000505645 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FPF7 5300997.44360000 PA USD 5712819.21000000 0.019792125899 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31372V2S4 2427.36460000 PA USD 2617.05000000 0.000009066798 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297R6J1 1677.87630000 PA USD 1881.76000000 0.000006519378 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ERSD3 1810077.19700000 PA USD 1927779.64000000 0.006678814073 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GSMY2 49813.03320000 PA USD 54197.45000000 0.000187767670 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213LQR4 404.86170000 PA USD 467.39000000 0.000001619277 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 0.07000000 N N N N N N CFCRE COML MTG TR 2011-C2 N/A 12527DAD2 478000.00000000 PA USD 503313.02000000 0.001743733573 Long ABS-MBS CORP US N 2 2047-12-15 Variable 0.05741388 N N N N N N SSH GROUP HOLDINGS INC N/A 78482HAE5 1734331.09000000 PA USD 1708316.12000000 0.005918480259 Long LON CORP US N 2 2025-07-30 Variable 0.06194630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XCZ1 38458.68810000 PA USD 42547.17000000 0.000147405145 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31329PZC0 89226.68400000 PA USD 95249.11000000 0.000329991604 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.04500000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAW7 27047000.00000000 PA USD 29419153.08000000 0.101922984118 Long DBT CORP IT N 2 2026-01-15 Fixed 0.05710000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AZL4 340328.79720000 PA USD 394858.08000000 0.001367990224 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HWM0 31253.67390000 PA USD 33981.05000000 0.000117727726 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N ASP CHROMAFLO DUTCH I BV 5493008HKRD0MRFY1H27 00215KAL0 210389.32000000 PA USD 207233.48000000 0.000717962703 Long LON CORP NL N 2 2023-11-18 Variable 0.05853380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178TRX6 45385.26320000 PA USD 47385.56000000 0.000164167801 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMXJ7 3944700.67400000 PA USD 4060876.05000000 0.014068950388 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.02500000 N N N N N N NRG ENERGY INC 5E2UPK5SW04M13XY7I38 629377CE0 2250000.00000000 PA USD 2337300.00000000 0.008097601930 Long DBT CORP US N 2 2028-01-15 Fixed 0.05750000 N N N N N N CITIGROUP COML MTG TR 2019-SMRT N/A 29429MAL7 791000.00000000 PA USD 839607.90000000 0.002908830938 Long ABS-MBS CORP US N 2 2036-01-10 Variable 0.04744937 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178ESP5 19897.82710000 PA USD 21563.23000000 0.000074706050 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A8F43 346683.34570000 PA USD 376774.42000000 0.001305339182 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GDB3 1768.19830000 PA USD 2009.95000000 0.000006963494 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N AON CORP2 LTS3U8DGK38SETRUWX71 037389AW3 2455000.00000000 PA USD 2501519.65000000 0.008666542740 Long DBT CORP US N 2 2020-09-30 Fixed 0.05000000 N N N N N N US FOODS INC 5493000JOOFAOUY1JZ87 90351HAD0 2992500.00000000 PA USD 2952609.98000000 0.010229350222 Long LON CORP US N 2 2026-09-13 Variable 0.03603380 N N N N N N ALPINE FIN MERGER SUB LLC N/A 02083JAC8 3546461.20100000 PA USD 3519862.74000000 0.012194603739 Long LON CORP US N 2 2024-07-12 Variable 0.04603380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200NVW8 7763.07090000 PA USD 9014.03000000 0.000031229207 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200QK29 1999.77750000 PA USD 2328.68000000 0.000008067737 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209XYE4 585.10200000 PA USD 664.34000000 0.000002301613 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204KU92 354.38090000 PA USD 403.04000000 0.000001396336 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M0SE1 25825.28580000 PA USD 27867.77000000 0.000096548200 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FF3W9 265464.94770000 PA USD 282727.12000000 0.000979511262 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209AUM0 692.56620000 PA USD 782.25000000 0.000002710113 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392DPW6 15911.54130000 PA USD 16252.16000000 0.000056305789 Long ABS-CBDO USGSE US N 2 2032-03-18 Variable 0.02658500 N N N N N N WYNDHAM HOTELS and RESORTS INC 549300FE3MQ4RVXXC673 98311AAA3 3284000.00000000 PA USD 3404210.82000000 0.011793926371 Long DBT CORP US N 2 2026-04-15 Fixed 0.05375000 N N N N N N GS MTG SECS CORP TR 2019 5493005BBCF84ICNQ550 36257UAC1 1092000.00000000 PA USD 933336.22000000 0.003233553748 Long ABS-MBS CORP US N 2 2052-09-01 Fixed 0.02800000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAQ1 79634000.00000000 PA USD 84575276.16000000 0.293011987987 Long DBT CORP US N 2 2024-04-24 Variable 0.03737000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EJU4 245132.09940000 PA USD 271191.68000000 0.000939546601 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C9 549300PFVBG5704L7K74 61762DBB6 920000.00000000 PA USD 972132.17000000 0.003367962750 Long ABS-MBS CORP US N 2 2046-05-15 Variable 0.04034206 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31393UNH2 302688.52690000 PA USD 81633.25000000 0.000282819305 Long ABS-CBDO USGSE US N 2 2033-12-25 Variable 0.06473250 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 06740L8C2 17678000.00000000 PA USD 19700009.64000000 0.068250903219 Long EP CORP GB N 2 N N N UST NOTES 254900HROIFWPRGM1V77 9128285M8 373000000.00000000 PA USD 435462930.62000000 1.508666182236 Long DBT UST US N 2 2028-11-15 Fixed 0.03125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4CR9 22842.32380000 PA USD 24768.45000000 0.000085810571 Long ABS-MBS USGA US N 2 2041-05-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178FWM4 46069.48540000 PA USD 49723.85000000 0.000172268833 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.04000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SAS2 4082000.00000000 PA USD 4414527.84000000 0.015294180961 Long DBT CORP US N 2 2024-01-31 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JFS2 129581.21100000 PA USD 140889.21000000 0.000488112240 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828U24 24203000.00000000 PA USD 25707178.69000000 0.089062807424 Long DBT UST US N 2 2026-11-15 Fixed 0.02000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180XDA8 119607.91960000 PA USD 126801.69000000 0.000439305869 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136A3M81 914440.34000000 PA USD 98279.11000000 0.000340489073 Long ABS-CBDO USGSE US N 2 2041-06-25 Variable 0.04923250 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292LGU3 7139136.10030000 PA USD 7718791.12000000 0.026741837965 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371EVX0 194.06500000 PA USD 209.79000000 0.000000726819 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E5R91 34325.18660000 PA USD 37393.27000000 0.000129549401 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UHEK7 292088.40090000 PA USD 304643.79000000 0.001055441809 Long ABS-MBS USGSE US N 2 2041-09-01 Variable 0.04007000 N N N N N N RED LOBSTER MANAGEMENT LLC 549300P1YIDLQ0639N88 75676JAB9 1485971.89100000 PA USD 1404243.44000000 0.004865017067 Long LON CORP US N 2 2021-07-28 Variable 0.06853380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVS99 1842220.59200000 PA USD 2011488.98000000 0.006968826016 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.04000000 N N N N N N COMM 2018-HCLV MTG TR N/A 20048KAN7 544000.00000000 PA USD 525063.85000000 0.001819089567 Long ABS-MBS CORP US N 2 2033-09-15 Variable 0.06714800 N N N N N N FREMF 2011-K11 MTG TR N/A 30262BAL9 478000.00000000 PA USD 486017.11000000 0.001683811700 Long ABS-MBS USGSE US N 2 2048-12-25 Variable 0.04417905 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208HR32 401.84790000 PA USD 455.13000000 0.000001576802 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412LH94 3094.60490000 PA USD 3427.68000000 0.000011875235 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FSU50 162337.28120000 PA USD 172792.00000000 0.000598639812 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N MOTEL 6 TR 2017-M6MZ N/A 61975GAA5 463738.17690000 PA USD 468429.82000000 0.001622880338 Long ABS-MBS CORP US N 2 2024-08-15 Variable 0.08585000 N N N N N N SG COML MTG SECS TR 2020-COVE N/A 78397FAL7 1289000.00000000 PA USD 1290081.47000000 0.004469501648 Long ABS-MBS CORP US N 2 2037-03-15 Variable 0.03851800 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371M2A4 15888.40830000 PA USD 17629.37000000 0.000061077149 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212VPF0 446.46170000 PA USD 509.31000000 0.000001764510 Long ABS-MBS USGA US N 2 2030-12-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206V7B7 134.50960000 PA USD 153.60000000 0.000000532148 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230UD63 19869.03490000 PA USD 21544.45000000 0.000074640987 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404NTT3 50228.46890000 PA USD 54979.51000000 0.000190477125 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407SFD9 7140.87520000 PA USD 8366.25000000 0.000028984966 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.06000000 N N N N N N CREDIT SUISSE AG ANGGYXNX0JLX3X63JN86 N/A 3925000.00000000 PA 4449561.53000000 0.015415555571 Long DBT CORP CH N 2 2025-09-18 Variable 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379FBG8 5419.89420000 PA USD 6127.27000000 0.000021227995 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAU4 4950000.00000000 PA USD 4776750.00000000 0.016549103676 Long EP CORP US N 2 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FTK3 1558.15430000 PA USD 1808.41000000 0.000006265256 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N EXGEN RENEWABLES IV LLC 5493004JBPWTPTK8LB51 30204KAB2 1789924.06000000 PA USD 1778737.03000000 0.006162454288 Long LON CORP US N 2 2024-11-28 Variable 0.04620000 N N N N N N MELCO RESORTS FIN LTD 529900NRV6LBR3T6B421 58547DAA7 7973000.00000000 PA USD 8012766.53000000 0.027760319053 Long DBT CORP KY N 2 2025-06-06 Fixed 0.04875000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MSX9 471351.12450000 PA USD 501204.24000000 0.001736427682 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212VTQ2 1334.67740000 PA USD 1548.15000000 0.000005363582 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 362204KV0 3.10980000 PA USD 3.17000000 0.000000010982 Long ABS-MBS USGA US N 2 2020-12-15 Fixed 0.09500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AGC8 1124.83210000 PA USD 1213.33000000 0.000004203595 Long ABS-MBS USGA US N 2 2025-07-15 Fixed 0.08000000 N N N N N N PLAINS ALL AM PIPELN/PAA FIN C N/A 72650RBF8 4912000.00000000 PA USD 5090139.82000000 0.017634846204 Long DBT CORP US N 2 2024-11-01 Fixed 0.03600000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J8DB6 7483344.64400000 PA USD 7962942.47000000 0.027587703041 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133TGPD5 12199.19300000 PA USD 13481.28000000 0.000046706044 Long ABS-CBDO USGSE US N 2 2028-11-15 Fixed 0.06000000 N N N N N N DUKE REALTY LP NEW 2549009GZDBNY1KE9O81 26441YAX5 4005000.00000000 PA USD 4243663.28000000 0.014702218786 Long DBT CORP US N 2 2023-04-15 Fixed 0.03625000 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38141GFD1 6976000.00000000 PA USD 9995809.88000000 0.034630594867 Long DBT CORP US N 2 2037-10-01 Fixed 0.06750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A5AB8 48446.26970000 PA USD 52673.97000000 0.000182489556 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RL44 567.12240000 PA USD 610.42000000 0.000002114806 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408EN99 4893.78180000 PA USD 5376.68000000 0.000018627567 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209M4C5 455.77820000 PA USD 519.23000000 0.000001798878 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N HANJIN INTERNATIONAL CORP 54930024Y0JUNH5S0F24 41043UAB2 678000.00000000 PA USD 671220.00000000 0.002325449179 Long LON CORP US N 2 2020-10-18 Variable 0.04103380 N N N N N N BRAZOS DELAWARE II LLC N/A 10620UAB8 1091794.75000000 PA USD 900730.67000000 0.003120591456 Long LON CORP US N 2 2025-05-21 Variable 0.05639380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EDEA5 549983.32320000 PA USD 598111.15000000 0.002072162753 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ARFF6 105169.32180000 PA USD 114248.40000000 0.000395814856 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335HQB2 51.06680000 PA USD 52.27000000 0.000000181089 Long ABS-MBS USGSE US N 2 2021-06-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213XMA9 1388.58250000 PA USD 1569.80000000 0.000005438589 Long ABS-MBS USGA US N 2 2032-01-15 Fixed 0.07000000 N N N N N N SAMVARDHANA MOTHERSON AUTOMOTIVE SYSTEMS GROUP B.V 7245003HPQ1HG4CHTL79 N/A 2543000.00000000 PA 2670250.96000000 0.009251114246 Long DBT CORP NL N 2 2024-07-06 Fixed 0.01800000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213EGV2 1220.81880000 PA USD 1407.62000000 0.000004876715 Long ABS-MBS USGA US N 2 2031-05-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2VZ2 7058180.03450000 PA USD 7525416.73000000 0.026071890233 Long ABS-MBS USGA US N 2 2046-04-15 Fixed 0.04000000 N N N N N N FIDELITY REVERE STREET TRUST 549300BDV45LJNXBZC55 31635A105 832987882.29600000 NS USD 833154479.87000000 2.886472992245 Long STIV RF US N 1 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7EX6 96683.51800000 PA USD 104861.01000000 0.000363292139 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WMWJ6 1136647.74880000 PA USD 1219084.49000000 0.004223531818 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N SWISS RE FINANCE LUXEMBOURG 549300CLQZ6TM98LW631 87089NAA8 7600000.00000000 PA USD 8599400.00000000 0.029792717256 Long DBT CORP LU N 2 2049-04-02 Variable 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411CU74 731.46880000 PA USD 751.05000000 0.000002602021 Long ABS-MBS USGSE US N 2 2021-11-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208NYA5 368.92600000 PA USD 411.60000000 0.000001425992 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LUU8 1346560.91160000 PA USD 1484499.11000000 0.005143063731 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.04500000 N N N N N N HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP N/A 432891AH2 1644000.00000000 PA USD 1650165.00000000 0.005717015055 Long DBT CORP US N 2 2025-04-01 Fixed 0.04625000 N N N N N N CALIFORNIA RESOURCES CORPORATION 5493003Q8F0T4F4YMR48 N/A 12781000.00000000 PA USD 6422452.50000000 0.022250658351 Long LON CORP US N 2 2021-12-31 Variable 0.11988250 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297TTR4 3639.94590000 PA USD 4093.44000000 0.000014181768 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F3VB1 340376.84390000 PA USD 365588.66000000 0.001266585991 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N MSJP 2015-HAUL N/A 553697AN3 311000.00000000 PA USD 349517.66000000 0.001210907833 Long ABS-MBS CORP US N 2 2047-09-05 Variable 0.04851000 N N N N N N MOFT TR 2020-ABC N/A 55317BAJ6 475000.00000000 PA USD 459327.61000000 0.001591345630 Long ABS-MBS CORP US N 2 2030-02-06 Variable 0.03476700 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GERN2 190308.48550000 PA USD 210456.24000000 0.000729127991 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N ENTERCOM MEDIA CORP 549300S5JUSXRHNCHD80 12506KAE9 1844173.40000000 PA USD 1818816.02000000 0.006301308396 Long LON CORP US N 2 2024-11-17 Variable 0.04103380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31298ET39 269.66720000 PA USD 311.09000000 0.000001077774 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XV5G1 553722.18340000 PA USD 610502.13000000 0.002115091441 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMJQ6 5806.57550000 PA USD 6401.39000000 0.000022177687 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283HS89 21515.49990000 PA USD 24972.14000000 0.000086516257 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176XUX5 17615.12360000 PA USD 18724.12000000 0.000064869922 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.03500000 N N N N N N INTERCONTINENTAL EXCHANGE N/A N/A 8300000.00000000 NC 153018.42000000 0.000530134023 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE N/A ITRAXX EUR SNR FI S25 06/20/21 ITXES525 Y 2021-06-20 0.00000000 EUR 0.00000000 EUR 9124517.85000000 EUR 153018.42000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205GFX4 203.91050000 PA USD 222.28000000 0.000000770091 Long ABS-MBS USGA US N 2 2024-06-15 Fixed 0.08000000 N N N N N N WEB COM GROUP INC 254900QSA9ZIGO5F5S30 94732YAS2 4232218.72000000 PA USD 4108764.90000000 0.014234861843 Long LON CORP US N 2 2025-10-11 Variable 0.05389380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416BT57 49480.02570000 PA USD 51756.93000000 0.000179312461 Long ABS-MBS USGSE US N 2 2035-05-01 Variable 0.04016000 N N N N N N INGERSOLL-RAND GLOBAL HLDG CO LTD 549300UCF0D858BIOV83 45687AAJ1 5393000.00000000 PA USD 5901945.28000000 0.020447355279 Long DBT CORP US N 2 2023-06-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403GJL7 54954.80790000 PA USD 60120.32000000 0.000208287519 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407RZ31 1363.30440000 PA USD 1565.61000000 0.000005424073 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06000000 N N N N N N TTM TECHNOLOGIES INC 549300SC4BDOIS008048 87305VAH3 4168033.52500000 PA USD 4115933.11000000 0.014259696187 Long LON CORP US N 2 2024-09-28 Variable 0.04155000 N N N N N N WP GLIMCHER MALL TR 15-WPG N/A 92939VAL8 528000.00000000 PA USD 470941.20000000 0.001631581042 Long ABS-MBS CORP US N 2 2035-06-05 Variable 0.03516000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H030633 -296350000.00000000 PA USD -306198718.09000000 -1.06082887553 Short ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ETWB8 1024022.59600000 PA USD 1117890.65000000 0.003872944630 Long ABS-MBS USGSE US N 2 2039-02-01 Variable 0.06542000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386QSH5 971.42490000 PA USD 1144.40000000 0.000003964786 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 0.07500000 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 455780BJ4 660000.00000000 PA USD 830568.75000000 0.002877514702 Long DBT NUSS ID N 2 2042-01-17 Fixed 0.05250000 N N N N N N NAB HLDGS LLC 549300G4QOYNTNBXSH82 62871NAK1 1027758.16000000 PA USD 1023472.41000000 0.003545831584 Long LON CORP US N 2 2024-06-30 Variable 0.04944630 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395MT74 1620018.22630000 PA USD 1925294.14000000 0.006670203031 Long ABS-CBDO USGSE US N 2 2035-02-15 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383LEB7 100.90750000 PA USD 111.84000000 0.000000387470 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.08000000 N N N N N N BX 2020-BXLP N/A 05607QAA6 25654000.00000000 PA USD 25665857.28000000 0.088919648938 Long ABS-MBS CORP US N 2 2029-12-15 Variable 0.02458500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AXGL9 1839951.59000000 PA USD 1997641.33000000 0.006920850678 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201JFA2 619.11580000 PA USD 714.37000000 0.000002474942 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MNH9 1064063.97510000 PA USD 1131456.68000000 0.003919944293 Long ABS-MBS USGA US N 2 2042-09-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QPD50 231335.13340000 PA USD 249889.37000000 0.000865744510 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137A5SJ4 261563.26860000 PA USD 9340.79000000 0.000032361271 Long ABS-CBDO USGSE US N 2 2038-03-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376LFW9 481.74190000 PA USD 524.58000000 0.000001817413 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31397R3R5 135094.05370000 PA USD 150552.77000000 0.000521591751 Long ABS-CBDO USGSE US N 2 2037-12-15 Fixed 0.05000000 N N N N N N BX TRUST 2019 N/A 056054AL3 4890695.37000000 PA USD 4921145.82000000 0.017049364605 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.04308500 N N N N N N MENDOZA PROVINCE OF 529900FD2SD2M48A6753 586805AH6 220000.00000000 PA USD 159500.00000000 0.000552589529 Long DBT CORP AR N 2 2024-05-19 Fixed 0.08375000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L65D9 2382620.00870000 PA USD 2525350.62000000 0.008749105402 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384HLW1 402.09160000 PA USD 472.18000000 0.000001635872 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417DPH0 134419.40680000 PA USD 147904.40000000 0.000512416444 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293JH93 433.31300000 PA USD 487.19000000 0.000001687875 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230RVV5 72268.75940000 PA USD 76954.09000000 0.000266608303 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FUF1 2877061.95610000 PA USD 3143930.74000000 0.010892183130 Long ABS-MBS USGA US N 2 2041-06-20 Fixed 0.04500000 N N N N N N DISH NETWORK CORP 529900U350CWHH15G169 25470MAB5 6718000.00000000 PA USD 6486279.65000000 0.022471788224 Long DBT CORP US N 2 2026-08-15 Fixed 0.03375000 N N N N Y DISH NETWORK CORP USD XXXX N N N ROYAL BANK OF SCOTLAND GRP PLC (UNGTD) 2138005O9XJIJN4JPN90 780099CH8 44276000.00000000 PA USD 48470815.83000000 0.167927682303 Long DBT CORP GB N 2 2024-05-28 Fixed 0.05125000 N N N N N N CSMC 2018-SITE N/A 12690CAE3 3730000.00000000 PA USD 4009660.48000000 0.013891513474 Long ABS-MBS CORP US N 2 2036-04-15 Fixed 0.04534900 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223QDQ7 102.01520000 PA USD 107.51000000 0.000000372469 Long ABS-MBS USGA US N 2 2022-07-15 Fixed 0.08000000 N N N N N N ESH HOSPITALITY INC 54930042FMK7X7SQ2896 26907YAA2 1169000.00000000 PA USD 1175815.27000000 0.004073625123 Long DBT CORP US N 2 2025-05-01 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TP60 163.75410000 PA USD 185.96000000 0.000000644260 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F0H80 1729482.64700000 PA USD 1888392.36000000 0.006542356402 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.04000000 N N N N N N GEO GROUP INC NEW 5493003VOR6NTY465495 37252KAP7 1360306.55000000 PA USD 1257440.17000000 0.004356415500 Long LON CORP US N 2 2024-03-23 Variable 0.03610000 N N N N N N CVR ENERGY INC 529900SOYZIXZBTXB558 12662PAB4 4820000.00000000 PA USD 4494650.00000000 0.015571765078 Long DBT CORP US N 2 2025-02-15 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CZU1 317607.74000000 PA USD 329479.66000000 0.001141485958 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.03000000 N N N N N N EXPRO HOLDINGS US INC N/A N/A 179923.00000000 NS USD 2338999.00000000 0.008103488135 Long EC CORP US N 3 N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAU5 14530000.00000000 PA USD 14530000.00000000 0.050339347132 Long DBT CORP US N 2 2030-02-15 Fixed 0.03375000 N N N N N N NISOURCE FIN CORP ZHUWIE4VK4MIYES0UG62 65473QAZ6 4036000.00000000 PA USD 5327952.30000000 0.018458750195 Long DBT CORP US N 2 2042-02-01 Fixed 0.05800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407D5Z4 5599.84650000 PA USD 6569.30000000 0.000022759413 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.06000000 N N N N N N WEATHERFORD INTERNATIONA PLC 529900LPBDSCQDJKHQ39 N/A 22380.00000000 NS USD 467742.00000000 0.001620497378 Long EC CORP IE N 1 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419DK42 47384.52550000 PA USD 52421.89000000 0.000181616222 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04500000 N N N N N N APPLOVIN CORP N/A 03835EAC8 3097754.67000000 PA USD 3078393.70000000 0.010665129323 Long LON CORP US N 2 2025-08-15 Variable 0.05103380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31377K3J2 2786.12520000 PA USD 3188.42000000 0.000011046316 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.07500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TKZ78 74390.90630000 PA USD 80071.35000000 0.000277408085 Long ABS-CBDO USGSE US N 2 2029-05-15 Fixed 0.06250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GKF92 2441308.37510000 PA USD 2662289.51000000 0.009223531714 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RF41 527.21510000 PA USD 598.10000000 0.000002072124 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36183XQ52 20089.63430000 PA USD 20868.33000000 0.000072298562 Long ABS-MBS USGA US N 2 2045-03-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307TPN5 133548.88930000 PA USD 140769.77000000 0.000487698438 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384VV58 183.15150000 PA USD 208.46000000 0.000000722211 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.07000000 N N N N N N FLEET US BIDCO INC N/A N/A 957600.00000000 PA USD 948024.00000000 0.003284439726 Long LON CORP US N 2 2026-10-05 Variable 0.05235000 N N N N N N SPRINT CORP 549300ZTTY7CXOLJ6539 85207UAH8 4315000.00000000 PA USD 4901106.45000000 0.016979937984 Long DBT CORP US N 2 2024-06-15 Fixed 0.07125000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293S6F1 274.11750000 PA USD 310.27000000 0.000001074933 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FMH7 891.90560000 PA USD 1032.15000000 0.000003575895 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180HJZ2 16658.00630000 PA USD 18145.95000000 0.000062866846 Long ABS-MBS USGA US N 2 2043-08-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401WEM7 5007.74330000 PA USD 5470.82000000 0.000018953716 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVXG7 1754093.68750000 PA USD 1885116.24000000 0.006531006248 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N ELDORADO RESORTS INC 5299000BKFWWVND5L441 28470YAB3 1043532.76000000 PA USD 1037668.11000000 0.003595012745 Long LON CORP US N 2 2024-04-17 Variable 0.03889420 N N N N N N WFRBS COML MTG TR 2013-C16 N/A 92938EBR3 211000.00000000 PA USD 212826.56000000 0.000737339991 Long ABS-MBS CORP US N 2 2046-09-15 Variable 0.05033497 N N N N N N CCO HLDGS LLC/CCO HLDGS CAP CORP N/A 1248EPBT9 7097000.00000000 PA USD 7378750.90000000 0.025563764828 Long DBT CORP US N 2 2027-05-01 Fixed 0.05125000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H032639 -415525000.00000000 PA USD -430484647.95000000 -1.49141886637 Short ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213BRH7 1132.64290000 PA USD 1316.04000000 0.000004559435 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179DV64 139523.50730000 PA USD 145672.84000000 0.000504685179 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VBM5 1587785.96330000 PA USD 1738751.70000000 0.006023924666 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208CLB1 155.59560000 PA USD 176.78000000 0.000000612456 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVB63 616696.01720000 PA USD 661411.29000000 0.002291466794 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371M5F0 2067.53100000 PA USD 2305.97000000 0.000007989058 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224A2S9 313.27540000 PA USD 327.05000000 0.000001133068 Long ABS-MBS USGA US N 2 2022-05-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402TV28 120934.66060000 PA USD 132560.40000000 0.000459256984 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283H6W0 212674.02990000 PA USD 243115.49000000 0.000842276327 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.06000000 N N N N N N UBER TECHNOLOGIES INC 549300B2FTG34FILDR98 90351JAD6 2823913.55000000 PA USD 2804259.11000000 0.009715386977 Long LON CORP US N 2 2025-04-04 Variable 0.05639380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AG2B3 33318.64700000 PA USD 34722.98000000 0.000120298151 Long ABS-MBS USGSE US N 2 2041-07-01 Variable 0.04537000 N N N N N N IMPERIAL TOBACCO FINANCE 2138008L3B3MCG1DFS50 453140AD7 12741000.00000000 PA USD 12793819.85000000 0.044324331629 Long DBT CORP GB N 2 2020-07-21 Fixed 0.02950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JADD7 4513954.20000000 PA USD 4748995.34000000 0.016452947346 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31377KG41 298.47740000 PA USD 339.35000000 0.000001175681 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AWKG7 11679.85180000 PA USD 12723.83000000 0.000044081851 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945ZD3 9099.00460000 PA USD 9925.47000000 0.000034386901 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NA54 14574.23910000 PA USD 16006.65000000 0.000055455217 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M74W3 8631.19260000 PA USD 9561.15000000 0.000033124710 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QMNZ0 12852.39900000 PA USD 13770.93000000 0.000047709540 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.03500000 N N N N N N AES CORP 2NUNNB7D43COUIRE5295 00130HBX2 984000.00000000 PA USD 1012486.80000000 0.003507771816 Long DBT CORP US N 2 2026-05-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205TSE4 556.58090000 PA USD 608.47000000 0.000002108051 Long ABS-MBS USGA US N 2 2024-04-15 Fixed 0.08000000 N N N N N N MORGAN STANLEY CAP I TR 2019-MEAD N/A 61771LAA0 30766000.00000000 PA USD 32409104.38000000 0.112281703760 Long ABS-MBS CORP US N 2 2036-11-10 Fixed 0.03170000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XVAL4 340852.67570000 PA USD 375804.49000000 0.001301978849 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MQ2L6 72281.30050000 PA USD 77523.59000000 0.000268581342 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TDA4 145.69300000 PA USD 167.04000000 0.000000578711 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.07500000 N N N N N N CAPITAL ONE NATL ASSN MCLEAN VA 207ALC1P1YM0OVDV0K75 14042RNW7 14297000.00000000 PA USD 14440402.06000000 0.050028934069 Long DBT CORP US N 2 2022-09-06 Fixed 0.02150000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31396HU49 172161.05740000 PA USD 165453.03000000 0.000573213868 Long ABS-CBDO USGSE US N 2 2035-09-15 Fixed 0.00000000 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAA1 9126000.00000000 PA USD 9878193.21000000 0.034223110601 Long DBT CORP US N 2 2025-02-01 Fixed 0.03850000 N N N N N N LONDON CLEARING HOUSE N/A N/A 5827000.00000000 NC 429310.77000000 0.001487351953 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2040-06-17 0.00000000 EUR 0.00000000 EUR 6180009.59000000 EUR 429310.77000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418M4E9 61385.05750000 PA USD 64390.41000000 0.000223081293 Long ABS-MBS USGSE US N 2 2040-03-01 Variable 0.03941000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290XL40 11366.85470000 PA USD 12561.24000000 0.000043518556 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 0.05000000 N N N N N N GEORGIA BK JT STK CO 549300RPLD8RXL49Z691 47973XAA9 2363000.00000000 PA USD 2498872.50000000 0.008657371659 Long DBT CORP GE N 2 2023-07-26 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206BWK3 324.71130000 PA USD 360.24000000 0.000001248055 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402MLU2 112155.12070000 PA USD 122575.00000000 0.000424662455 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N IMPERIAL TOBACCO FINANCE 2138008L3B3MCG1DFS50 453140AE5 12933000.00000000 PA USD 13513672.17000000 0.046818268024 Long DBT CORP GB N 2 2022-07-21 Fixed 0.03750000 N N N N N N CALIFORNIA ST N/A 13063BFR8 6440000.00000000 PA USD 10985030.00000000 0.038057759011 Long DBT MUN US N 2 2040-03-01 Fixed 0.07625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223SEJ8 141.21170000 PA USD 146.30000000 0.000000506857 Long ABS-MBS USGA US N 2 2022-04-15 Fixed 0.07500000 N N N N N N TOWD PT MTG TR 2019-1 N/A 89177BAA3 7920484.84000000 PA USD 8452531.53000000 0.029283889803 Long ABS-CBDO CORP US N 2 2058-03-25 Fixed 0.03750000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JT9 31901000.00000000 PA USD 35500067.63000000 0.122990380430 Long DBT CORP US N 2 2025-06-10 Fixed 0.04400000 N N N N N N VESTAS WIND SYSTEMS AS 549300DYMC8BGZZC8844 N/A 1994000.00000000 PA 2298682.77000000 0.007963812106 Long DBT CORP DK N 2 2022-03-11 Fixed 0.02750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213WBX3 228.31930000 PA USD 263.26000000 0.000000912067 Long ABS-MBS USGA US N 2 2031-10-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A13Q2 5884.80450000 PA USD 6465.97000000 0.000022401425 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N APOLLO AVIATION SECURITIZATION EQUITY TRUST N/A 00255UAB1 1834000.00000000 PA USD 1833944.98000000 0.006353722847 Long ABS-CBDO CORP US N 2 2040-01-16 Fixed 0.04335000 N N N N N N CALIFORNIA RESOURCES CORPORATION 5493003Q8F0T4F4YMR48 13057QAG2 10120000.00000000 PA USD 2327600.00000000 0.008063996172 Long DBT CORP US N 2 2022-12-15 Fixed 0.08000000 N N N N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAG2 3540000.00000000 PA USD 3929065.82000000 0.013612292375 Long DBT CORP US N 2 2026-01-15 Fixed 0.04125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290WF64 56494.57690000 PA USD 62531.46000000 0.000216640940 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 0.05000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WBE2 3571000.00000000 PA USD 3882740.80000000 0.013451798827 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 0.05350300 N N N N N N AIMBRIDGE ACQUISITION CO INC 549300SPGKLVE9WYCQ20 N/A 1939464.19000000 PA USD 1890977.59000000 0.006551312960 Long LON CORP US N 2 2026-02-01 Variable 0.05362630 N N N N N N SHRIRAM TRANSPORT FIN CO LTD 335800TM2YO24B76XL26 825547AC6 580000.00000000 PA USD 581484.80000000 0.002014560578 Long DBT CORP IN N 2 2023-07-16 Fixed 0.05100000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M8W75 513233.33640000 PA USD 614333.17000000 0.002128364122 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2YK2 156852.19700000 PA USD 164874.83000000 0.000571210688 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378R3Y3 7512.20060000 PA USD 8609.80000000 0.000029828748 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180KJU6 47913.88580000 PA USD 52148.77000000 0.000180669995 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.04000000 N N N N N N HILTON WORLDWIDE FINANCE LLC 549300406TN7EY0NPH20 43289DAH6 2928861.51000000 PA USD 2893890.90000000 0.010025917314 Long LON CORP US N 2 2026-06-21 Variable 0.03376750 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCZ3 59072000.00000000 PA USD 57353004.80000000 0.198700125101 Long DBT CORP MX N 2 2031-01-28 Fixed 0.05950000 N N N N N N CD 2017-CD3 MTG TR N/A 12515GAH0 1482000.00000000 PA USD 1641213.93000000 0.005686003973 Long ABS-MBS CORP US N 2 2050-02-10 Variable 0.04560078 N N N N N N WP GLIMCHER MALL TR 15-WPG N/A 92939VAN4 1378000.00000000 PA USD 1178458.99000000 0.004082784320 Long ABS-MBS CORP US N 2 2035-06-05 Variable 0.03516000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378FCV5 119.28060000 PA USD 133.36000000 0.000000462027 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N BOXER PARENT CO INC 5493006T045HLTF7YX04 05988HAB3 6564156.29100000 PA USD 6294566.39000000 0.021807595495 Long LON CORP US N 2 2025-10-02 Variable 0.05853380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204BBT9 535.31250000 PA USD 562.82000000 0.000001949896 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128E33N2 12868.39950000 PA USD 14150.98000000 0.000049026228 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJSS0 387138.02270000 PA USD 407419.60000000 0.001411509750 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38378WVT7 1492034.79240000 PA USD 1547039.55000000 0.005359735783 Long ABS-CBDO USGA US N 2 2039-08-20 Variable 0.06604000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179S2N6 21997751.41050000 PA USD 22959449.11000000 0.079543267634 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207RLC7 809.93140000 PA USD 896.30000000 0.000003105241 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N SENSATA TECHNOLOGIES BV PUCKW5P5O3XMOZVH7T53 81725WAJ2 2730000.00000000 PA USD 2873598.00000000 0.009955612335 Long DBT CORP NL N 2 2025-10-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NH99 17246.97460000 PA USD 19135.40000000 0.000066294806 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.06500000 N N N N N N SPARC EM SPC N/A 846502AC6 129994.81000000 PA USD 124146.34000000 0.000430106380 Long DBT CORP KY N 2 2022-12-05 Fixed 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVK63 12733182.63670000 PA USD 13561173.12000000 0.046982835596 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J8YQ7 171449.13490000 PA USD 185950.30000000 0.000644226889 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CNE0 99732.80000000 PA USD 106403.21000000 0.000368635108 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223VV94 5.24610000 PA USD 5.43000000 0.000000018812 Long ABS-MBS USGA US N 2 2022-03-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJ4W7 7391504.22200000 PA USD 7808791.59000000 0.027053645597 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 0.04000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CY9 1024000.00000000 PA USD 974241.83000000 0.003375271691 Long DBT CORP US N 2 2049-08-15 Fixed 0.04400000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205XYH1 120.83230000 PA USD 133.20000000 0.000000461472 Long ABS-MBS USGA US N 2 2024-12-15 Fixed 0.08000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2011-C4 N/A 46636DBE5 784250.00000000 PA USD 766758.64000000 0.002656443864 Long ABS-MBS CORP US N 2 2046-07-15 Fixed 0.03873000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J8N30 794613.24210000 PA USD 846932.49000000 0.002934207062 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAN1 12315000.00000000 PA USD 12627185.25000000 0.043747024198 Long DBT CORP US N 2 2025-01-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404SGK5 51632.98260000 PA USD 56608.50000000 0.000196120779 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371YT27 192.03200000 PA USD 205.93000000 0.000000713446 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395EWX1 1615.83790000 PA USD 2318.68000000 0.000008033092 Long ABS-CBDO USGSE US N 2 2024-08-15 Variable 0.64889491 N N N N N N TULLOW OIL PLC 2138003EYHWO75RKS857 899415AC7 4705000.00000000 PA USD 3387600.00000000 0.011736378000 Long DBT CORP GB N 2 2022-04-15 Fixed 0.06250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M4QA6 82135.57650000 PA USD 88902.93000000 0.000308005193 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CEB6 333653.98400000 PA USD 343134.46000000 0.001188793165 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.02500000 N N N N N N WORLDWIDE PLAZA TR 2017-WWP N/A 98162JAQ9 1960000.00000000 PA USD 1893832.36000000 0.006561203343 Long ABS-MBS CORP US N 2 2036-11-10 Variable 0.03595543 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383XLP2 89.29340000 PA USD 104.88000000 0.000000363357 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418APE2 274956.50690000 PA USD 285663.78000000 0.000989685353 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410G5Q2 37291.23560000 PA USD 38363.13000000 0.000132909491 Long ABS-MBS USGSE US N 2 2023-03-01 Fixed 0.05000000 N N N N N N PRESIDIO HOLDING INC N/A 74101YAD0 500000.00000000 PA USD 492500.00000000 0.001706271745 Long LON CORP US N 2 2027-01-22 Variable 0.05280000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 30100000.00000000 NC USD 743450.13000000 0.002575691271 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2030-02-28 0.00000000 USD 0.00000000 USD 30100000.00000000 USD 1.00000000 1.40000000 USD 2025-02-26 XXXX -104617.37000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291T2P2 887.63070000 PA USD 1006.78000000 0.000003488000 Long ABS-MBS USGA US N 2 2035-09-15 Fixed 0.06500000 N N N N N N YPF SOCIEDAD ANONIMA 5493003N7447U18U5U53 984245AM2 1955000.00000000 PA USD 1898488.38000000 0.006577334176 Long DBT CORP AR N 2 2021-03-23 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407EJ61 19628.65610000 PA USD 23064.07000000 0.000079905727 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GJWC9 572516.54020000 PA USD 634022.79000000 0.002196579030 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04500000 N N N N N N LANDESK GROUP INC N/A 51501EAC0 5243770.28000000 PA USD 5188710.69000000 0.017976346083 Long LON CORP US N 2 2024-01-20 Variable 0.05930000 N N N N N N CABOT MICROELECTRONICS CORP 31F6V1MN00ZW3XWB4J69 12709QAG6 1733525.12000000 PA USD 1720523.68000000 0.005960773487 Long LON CORP US N 2 2025-11-15 Variable 0.03625000 N N N N N N COMM 2018-HCLV MTG TR N/A 20048KAL1 468000.00000000 PA USD 469256.35000000 0.001625743860 Long ABS-MBS CORP US N 2 2033-09-15 Variable 0.04708500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C04Q8 333911.14400000 PA USD 368116.13000000 0.001275342440 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FVZ7 780.34010000 PA USD 910.61000000 0.000003154818 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402ESR0 51996.91610000 PA USD 56818.27000000 0.000196847530 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AAXH9 15417.84330000 PA USD 16760.88000000 0.000058068255 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615NL6 34.19780000 PA USD 36.49000000 0.000000126420 Long ABS-MBS USGSE US N 2 2023-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BEC8 427.27840000 PA USD 482.61000000 0.000001672007 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBGF4 60089.92980000 PA USD 63237.95000000 0.000219088583 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WH6K6 18133.24000000 PA USD 19035.06000000 0.000065947177 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 0.03500000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31398NFC3 6179116.44620000 PA USD 7077328.26000000 0.024519482728 Long ABS-CBDO USGSE US N 2 2040-09-25 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177WNF3 26126.60020000 PA USD 28313.34000000 0.000098091882 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W5MR6 707093.75450000 PA USD 753294.34000000 0.002609796646 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810RR1 44968900.00000000 PA USD 59474959.62000000 0.206051661253 Long DBT UST US N 2 2046-02-15 Fixed 0.01000000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RHS4 4081000.00000000 PA USD 4390527.57000000 0.015211031757 Long DBT CORP US N 2 2025-07-15 Fixed 0.03600000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C13 N/A 61763BAE4 785081.00000000 PA USD 811933.67000000 0.002812953259 Long ABS-MBS CORP US N 2 2046-11-15 Variable 0.04907276 N N N N N N RPI 2019 INTERMEDIATE FINANCE TRUST 549300RTICDAOJP6BY55 74969AAB7 3250000.00000000 PA USD 3233750.00000000 0.011203362958 Long LON CORP US N 2 2025-02-07 Variable 0.00000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205JA70 1626.12020000 PA USD 1808.49000000 0.000006265533 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307VJ80 883187.48900000 PA USD 918355.31000000 0.003181652218 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XXZG4 171435.85440000 PA USD 189015.28000000 0.000654845546 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.05000000 N N N N N N NAVIENT CORP 54930067J0ZNOEBRW338 63938CAE8 3210000.00000000 PA USD 3450750.00000000 0.011955161880 Long DBT CORP US N 2 2023-09-25 Fixed 0.07250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205HB57 146.92120000 PA USD 159.21000000 0.000000551584 Long ABS-MBS USGA US N 2 2024-04-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406KMX5 6299.93880000 PA USD 7429.54000000 0.000025739724 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 0.06500000 N N N N N N STATION CASINOS LLC 5493004E7Q60TX54WL62 85769EAZ4 4470649.13000000 PA USD 4362593.54000000 0.015114253999 Long LON CORP US N 2 2027-02-07 Variable 0.03860000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KBD6 50480.34100000 PA USD 54885.54000000 0.000190151565 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9PT2 10352.41720000 PA USD 11425.83000000 0.000039584915 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.04500000 N N N N N N TEMPO ACQUISITION LLC / TEMPO ACQUISITION FIN CORP N/A 88023JAA4 4698000.00000000 PA USD 4676013.36000000 0.016200100462 Long DBT CORP US N 2 2025-06-01 Fixed 0.06750000 N N N N N N PROVIDENCE PLACE GROUP LTD PARTNERSHIP N/A 743784AB6 1086353.04820000 PA USD 1373443.89000000 0.004758311682 Long ABS-MBS CORP US N 2 2028-07-20 Fixed 0.07750000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020 N/A 95002CAJ0 441000.00000000 PA USD 441857.57000000 0.001530820481 Long ABS-MBS CORP US N 2 2035-01-15 Variable 0.04360000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RLQ0 15419059.68100000 PA USD 16472375.74000000 0.057068729557 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 0.04000000 N N N N N N WEC ENERGY GROUP INC 549300IGLYTZUK3PVP70 976657AH9 2459000.00000000 PA USD 2362922.12000000 0.008186370051 Long DBT CORP US N 2 2067-05-15 Variable 0.03804250 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128LXAT7 147878.71130000 PA USD 165971.12000000 0.000575008797 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 0.05000000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RGQ9 10373000.00000000 PA USD 11882794.20000000 0.041168073099 Long DBT CORP US N 2 2030-02-15 Fixed 0.04300000 N N N N N N MOHEGAN TRIBAL GAMING AUTH 549300UB083Z2NRDHC48 608330AQ9 858342.38000000 PA USD 826866.96000000 0.002864689809 Long LON CORP US N 2 2023-10-14 Variable 0.05603380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404QKH1 34507.62010000 PA USD 37704.15000000 0.000130626448 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N GREYSTAR REAL ESTATE PARTNERS LLC 254900HGC806SXAS4M46 39807UAB2 459000.00000000 PA USD 474491.25000000 0.001643880230 Long DBT CORP US N 2 2025-12-01 Fixed 0.05750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RU69 463.85270000 PA USD 526.67000000 0.000001824654 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N CHEMOURS CO 549300M1BOLNXL8DOV14 16384YAF4 2094345.89000000 PA USD 1990948.03000000 0.006897661665 Long LON CORP US N 2 2025-04-03 Variable 0.03360000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EHVP4 1053699.57870000 PA USD 1147882.20000000 0.003976850690 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N ILLINOIS ST N/A 452152GS4 5200000.00000000 PA USD 6720168.00000000 0.023282097022 Long DBT MUN US N 2 2035-07-01 Fixed 0.07350000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206HFA1 591.42690000 PA USD 657.76000000 0.000002278816 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416SAM3 17045.37210000 PA USD 18889.40000000 0.000065442537 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q8W50 3928436.36700000 PA USD 4231891.58000000 0.014661435600 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04500000 N N N N N N CEMEX SAB DE CV 549300RIG2CXWN6IV731 N/A 1925000.00000000 PA 2180223.62000000 0.007553409059 Long DBT CORP MX N 2 2026-03-19 Fixed 0.03125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371F3Y6 84.57550000 PA USD 96.04000000 0.000000332731 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.07500000 N N N N N N QATAR ST 52990074F6OJOAXK4P65 74727PAY7 2610000.00000000 PA USD 3464775.00000000 0.012003751649 Long DBT NUSS QA N 2 2048-04-23 Fixed 0.05103000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617M76X1 309583.87800000 PA USD 332287.27000000 0.001151212954 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N THIRD PAKISTAN INTERNATIONAL SUKUK CO LTD/THE 529900OMZDJ2H3CXKF72 88429JAA4 690000.00000000 PA USD 707465.63000000 0.002451022569 Long DBT NUSS PK N 2 2021-10-13 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312941NQ6 4989.81140000 PA USD 5575.93000000 0.000019317871 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.05000000 N N N N N N NOBLE HLDG INTL LTD 549300GNEZBJHMST9U32 65504LAN7 4823000.00000000 PA USD 1816679.41000000 0.006293906087 Long DBT CORP KY N 2 2025-04-01 Variable 0.07950000 N N N N N N TOLEDO HOSP 5493009DCR7NWV6K4T34 889184AC1 6970000.00000000 PA USD 8119292.36000000 0.028129378980 Long DBT CORP US N 2 2028-11-15 Fixed 0.05325000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383CXP5 1138.32760000 PA USD 1327.81000000 0.000004600212 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XCR72 26342638.42700000 PA USD 28019476.44000000 0.097073788781 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945SK5 1902236.45350000 PA USD 2075016.59000000 0.007188918130 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FJN8 3224.35190000 PA USD 3766.52000000 0.000013049150 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AKT97 17613.46940000 PA USD 19669.21000000 0.000068144197 Long ABS-MBS USGA US N 2 2040-01-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296YAH5 106213.16130000 PA USD 117226.13000000 0.000406131235 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 0.04500000 N N N N N N PLAYA RESORTS HLDG B V 5493005SPBUMPZZCIZ96 72812NAD8 303860.50000000 PA USD 281070.96000000 0.000973773477 Long LON CORP NL N 2 2024-04-27 Variable 0.04350000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W6CK0 446260.35430000 PA USD 476534.08000000 0.001650957637 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H2C71 196326.86640000 PA USD 208966.94000000 0.000723968295 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PBE26 653.48490000 PA USD 658.58000000 0.000002281657 Long ABS-MBS USGSE US N 2 2020-10-01 Fixed 0.05500000 N N N N N N BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL 213800Y3B5GQFBGVHP79 N/A 4721000.00000000 PA 5351162.19000000 0.018539161118 Long DBT CORP LU N 2 2022-07-06 Fixed 0.01400000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200RBH4 912.64570000 PA USD 1057.40000000 0.000003663374 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208EHM8 164.22480000 PA USD 186.97000000 0.000000647759 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M3CW5 35782.56000000 PA USD 38775.50000000 0.000134338152 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M7SM9 738176.98800000 PA USD 818403.10000000 0.002835366672 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04500000 N N N N N N RECORDED BOOKS INC 549300YXME0U2XYD7K47 N/A 375000.00000000 PA USD 373125.00000000 0.001292695726 Long LON CORP US N 3 2025-08-31 Variable 0.00000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVN81 23241.25520000 PA USD 25622.03000000 0.000088767808 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374GXQ5 2044.67500000 PA USD 2197.89000000 0.000007614614 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 0.07000000 N N N N N N WELLS FARGO COML MTG TR 2012-LC5 N/A 94988HAP6 1939000.00000000 PA USD 2041663.07000000 0.007073364487 Long ABS-MBS CORP US N 2 2045-10-15 Variable 0.04759707 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ADSD5 56739.57970000 PA USD 62622.76000000 0.000216957250 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GE5T3 85093.48350000 PA USD 94182.01000000 0.000326294624 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KQ87 2956.99840000 PA USD 3465.31000000 0.000012005605 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208NNX7 407.57860000 PA USD 466.78000000 0.000001617164 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N BANC AMER FDG 2015-R3 TR N/A 05990QBD4 1910490.12130000 PA USD 1892225.84000000 0.006555637537 Long ABS-CBDO CORP US N 2 2036-06-27 Variable 0.01800880 N N N N N N ENBRIDGE ENERGY PARTNERS LP CZ6VG2MNE1J6YDI02G48 29250RAU0 8493000.00000000 PA USD 8742932.09000000 0.030289985783 Long DBT CORP US N 2 2021-09-15 Fixed 0.04200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375QNM2 38.97530000 PA USD 39.13000000 0.000000135566 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 0.09500000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 06738EBK0 26155000.00000000 PA USD 29697255.61000000 0.102886473437 Long DBT CORP GB N 2 2030-06-20 Variable 0.05088000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419LJP9 29315.44480000 PA USD 31859.94000000 0.000110379117 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N CD 2017-CD3 MTG TR N/A 12515GAM9 1340000.00000000 PA USD 1286387.94000000 0.004456705372 Long ABS-MBS CORP US N 2 2050-02-10 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407FM23 5931.64830000 PA USD 7002.57000000 0.000024260481 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204KWE9 179.29530000 PA USD 200.83000000 0.000000695777 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N OMAN SULTANATE 549300SZ20F0QTKNQC75 682051AC1 1015000.00000000 PA USD 988356.25000000 0.003424171256 Long DBT NUSS OM N 2 2026-06-15 Fixed 0.04750000 N N N N N N UKRAINE CABINET OF MINISTERS 6354001WLTJXOMEXPY07 903724AQ5 875000.00000000 PA USD 945875.00000000 0.003276994492 Long DBT NUSS UA N 2 2023-09-01 Fixed 0.07750000 N N N N N N GO DADDY OPER CO LLC 5493005GJOH8HLL11157 38017BAN6 3699452.06000000 PA USD 3637042.30000000 0.012600573632 Long LON CORP US N 2 2024-02-15 Variable 0.03353380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M5FL1 51264.46630000 PA USD 55488.27000000 0.000192239730 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389GLG3 315.94850000 PA USD 372.18000000 0.000001289421 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QPWH3 222142.45660000 PA USD 238018.40000000 0.000824617402 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN N/A 87612BBB7 6329000.00000000 PA USD 6352860.33000000 0.022009555501 Long DBT CORP US N 2 2025-02-01 Fixed 0.05125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295T7K4 9742.98290000 PA USD 11399.96000000 0.000039495288 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XVFB1 99120.84560000 PA USD 109284.93000000 0.000378618859 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.05000000 N N N N N N TURKEY REPUBLIC OF 5493000PCHOG3B6S3Q85 900123CM0 2303000.00000000 PA USD 1963307.50000000 0.006801900741 Long DBT NUSS TR N 2 2047-05-11 Fixed 0.05750000 N N N N N N MSCI INC 549300HTIN2PD78UB763 55354GAD2 2641000.00000000 PA USD 2742572.86000000 0.009501674276 Long DBT CORP US N 2 2026-08-01 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ECHP1 15544.87720000 PA USD 16769.44000000 0.000058097912 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9QV7 6071395.87890000 PA USD 6605784.97000000 0.022885815739 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209BUG1 1314.15610000 PA USD 1518.93000000 0.000005262349 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LQAE4 33109.77210000 PA USD 35950.23000000 0.000124549972 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FV82 223548.96400000 PA USD 247007.61000000 0.000855760621 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176PPQ3 13378.71720000 PA USD 14506.85000000 0.000050259143 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178LVY6 11421.66550000 PA USD 12420.47000000 0.000043030856 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402N4C9 89882.86710000 PA USD 98478.47000000 0.000341179758 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418MYV8 500608.99170000 PA USD 580183.19000000 0.002010051135 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GL73 17766.09080000 PA USD 19429.66000000 0.000067314273 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9CU3 10727.79020000 PA USD 11826.72000000 0.000040973803 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N JAZZ ACQUISITION INC 549300L8N9LERNS63192 47214DAK0 623437.50000000 PA USD 618761.72000000 0.002143706883 Long LON CORP US N 2 2026-06-19 Variable 0.06190000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 78250000.00000000 NC 1305565.91000000 0.004523147663 N/A DCR CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A NC N/A N/A DCR CORP FR N/A ITXEX532 2024-12-20 0.00000000 EUR 0.00000000 EUR 78250000.00000000 EUR 1.00000000 300.00000000 EUR 2020-04-15 XXXX 428079.80000000 N N N MORGAN STANLEY CAP CITIGROUP TR 2016-SNR N/A 61691CAJ8 3195149.99000000 PA USD 3279722.73000000 0.011362635994 Long ABS-MBS CORP US N 2 2034-11-15 Fixed 0.05205000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3133G7XF5 5197723.00000000 PA USD 5369775.95000000 0.018603648697 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EUSW0 319126.61800000 PA USD 343063.60000000 0.001188547670 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8LK7 21479901.56000000 PA USD 22668571.39000000 0.078535518527 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAH9 5342000.00000000 PA USD 5454436.12000000 0.018896954800 Long DBT CORP US N 2 2020-09-15 Fixed 0.05625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ATL96 250494.49350000 PA USD 266343.18000000 0.000922748919 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UGPP6 14562.59680000 PA USD 15143.11000000 0.000052463473 Long ABS-MBS USGSE US N 2 2041-04-01 Variable 0.04817000 N N N N N N HILLMAN GROUP INC BDPO7HREUXNPHVMSIT54 43162TAK6 1599205.50000000 PA USD 1528568.59000000 0.005295742936 Long LON CORP US N 2 2025-05-31 Variable 0.05603380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J9PW2 53751.17120000 PA USD 58297.45000000 0.000201972166 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N ONVOY LLC 549300LHK9RYYM718X74 68339FAE5 1703849.60000000 PA USD 1526649.24000000 0.005289093327 Long LON CORP US N 2 2024-02-10 Variable 0.06103380 N N N N N N RACKSPACE HOSTING INC 549300QTYCKLMFSE8I97 45332JAA0 7065000.00000000 PA USD 6764737.50000000 0.023436508552 Long DBT CORP US N 2 2024-11-15 Fixed 0.08625000 N N N N N N COMCAST CORP NEW 51M0QTTNCGUN7KFCFZ59 20030NBQ3 8807000.00000000 PA USD 11219805.62000000 0.038871141766 Long DBT CORP US N 2 2045-08-15 Fixed 0.04600000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HRML1 1504251.52310000 PA USD 1605175.37000000 0.005561147980 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03500000 N N N N N N LIMETREE BAY TERMINALS LLC 54930012NCJXEQAWEI45 53271HAB9 1775215.30000000 PA USD 1605824.26000000 0.005563396067 Long LON CORP VI N 2 2024-02-15 Variable 0.05603380 N N N N N N COLUMBIA PIPELINE GROUP INC 549300SRP1TQM9JJBG80 198280AF6 2999000.00000000 PA USD 3342900.82000000 0.011581517192 Long DBT CORP US N 2 2025-06-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206SM92 200.82050000 PA USD 224.15000000 0.000000776570 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N TURKEY REPUBLIC OF 5493000PCHOG3B6S3Q85 900123BY5 10530000.00000000 PA USD 10559615.63000000 0.036583906179 Long DBT NUSS TR N 2 2022-03-25 Fixed 0.05125000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 820000.00000000 PA USD 885600.00000000 0.003068171081 Long DBT CORP CH N 2 2024-05-15 Fixed 0.05125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375DMV2 676.74430000 PA USD 753.27000000 0.000002609712 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 0.07000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BPJ5 879294.41540000 PA USD 883909.57000000 0.003062314568 Long ABS-CBDO USGA US N 2 2062-01-20 Variable 0.02434380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201P2H7 550.07510000 PA USD 641.57000000 0.000002222726 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FH47 230.49640000 PA USD 254.43000000 0.000000881475 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209DEC4 128.33870000 PA USD 146.09000000 0.000000506130 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FHXU6 1769411.34800000 PA USD 1883363.56000000 0.006524934069 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N CENTURYLINK INC 8M3THTGWLTYZVE6BBY25 156700BC9 2955000.00000000 PA USD 2969479.50000000 0.010287794862 Long DBT CORP US N 2 2027-02-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419LPH0 4868.79170000 PA USD 5375.35000000 0.000018622960 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAP8 29391000.00000000 PA USD 34269049.55000000 0.118725504556 Long DBT CORP US N 2 2029-03-19 Fixed 0.05150000 N N N N N N BBCMS TR 2015-STP N/A 05547GAG8 546000.00000000 PA USD 549536.11000000 0.001903873985 Long ABS-MBS CORP US N 2 2028-09-10 Variable 0.04284350 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208WDV2 1026.84110000 PA USD 1162.90000000 0.000004028880 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XSA91 104072.27800000 PA USD 110696.99000000 0.000383510957 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHMS8 349153.69500000 PA USD 377979.23000000 0.001309513260 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 0.04500000 N N N N N N GENERAL MTRS FINL CO INC 5493008B6JBRUJ90QL97 37045XAL0 3453000.00000000 PA USD 3643702.11000000 0.012623646618 Long DBT CORP US N 2 2023-05-15 Fixed 0.04250000 N N N N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 225401AG3 18061000.00000000 PA USD 19386681.55000000 0.067165374555 Long DBT CORP CH N 2 2024-06-12 Variable 0.04207000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312943SR5 11994.49970000 PA USD 13403.41000000 0.000046436263 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402CGU0 91285.58230000 PA USD 99678.89000000 0.000345338626 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374GSY4 2523.22940000 PA USD 2855.57000000 0.000009893154 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312939LZ2 95292.98200000 PA USD 106873.53000000 0.000370264537 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QRZ6 1832679.14840000 PA USD 1967037.62000000 0.006814823783 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PBQD9 724.93770000 PA USD 732.64000000 0.000002538239 Long ABS-MBS USGSE US N 2 2020-11-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412UR44 5388.98400000 PA USD 5971.98000000 0.000020689991 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04500000 N N N N N N AZUL INVESTMENTS LLP 549300C6XNC8IDH04C74 05502FAA6 2268000.00000000 PA USD 2233980.00000000 0.007739648637 Long DBT CORP US N 2 2024-10-26 Fixed 0.05875000 N N N N N N NATIONSTAR HECM LOAN TRUST N/A 63863BAA7 3502954.66800000 PA USD 3498159.12000000 0.012119411305 Long ABS-CBDO CORP US N 2 2028-11-25 Fixed 0.03554500 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31397QAV0 2881001.37120000 PA USD 3274669.18000000 0.011345127914 Long ABS-CBDO USGSE US N 2 2041-01-25 Fixed 0.04750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GRCZ2 97304.40070000 PA USD 106051.34000000 0.000367416050 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N IHEARTMEDIA INC N/A 45174J509 13857.00000000 NS USD 209379.27000000 0.000725396817 Long EC CORP US N 1 N N N FED HOME LOAN MTG CORP - GOLD N/A 31283GW60 1097.03020000 PA USD 1225.65000000 0.000004246278 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GJC31 650320.35360000 PA USD 720185.18000000 0.002495089592 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293CM35 359.23880000 PA USD 390.11000000 0.000001351540 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARUP4 13500.54550000 PA USD 14651.61000000 0.000050760666 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.04000000 N N N N N N MORGAN STANLEY CAP CITIGROUP TR 2016-SNR N/A 61691CAL3 2313700.00000000 PA USD 2381681.13000000 0.008251360850 Long ABS-MBS CORP US N 2 2034-11-15 Fixed 0.06550000 N N N N N N GRUMA SAB DE CV 5493000XJLJ6C4T0PG82 N/A 1207000.00000000 PA USD 1316950.22000000 0.004562588732 Long DBT CORP MX N 2 2024-12-01 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E1D46 34808.27680000 PA USD 37919.54000000 0.000131372669 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297SPM1 9557.82330000 PA USD 10722.50000000 0.000037148220 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177YB47 30805.83290000 PA USD 33384.22000000 0.000115660002 Long ABS-MBS USGA US N 2 2042-05-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212PUV2 67.06710000 PA USD 77.28000000 0.000000267737 Long ABS-MBS USGA US N 2 2031-06-15 Fixed 0.07000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WAW3 35039000.00000000 PA USD 1255738.19000000 0.004350518971 Long ABS-MBS CORP US N 2 2033-07-05 Variable 0.01116000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XJ5X1 197353.41390000 PA USD 213513.26000000 0.000739719071 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 0.04000000 N N N N N N GOLD FIELDS OROGEN HLDG BVI LTD 213800CLGJ2E9KGU2F20 38060AAA2 767000.00000000 PA USD 776347.81000000 0.002689665650 Long DBT CORP VG N 2 2020-10-07 Fixed 0.04875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MAEW5 4965904.16200000 PA USD 5387472.18000000 0.018664957483 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413DVA2 21057.19100000 PA USD 22093.80000000 0.000076544216 Long ABS-MBS USGSE US N 2 2037-07-01 Variable 0.04783000 N N N N N N VALVOLINE INC 549300CMHPBEY6VPOT75 92047WAB7 2450000.00000000 PA USD 2523500.00000000 0.008742693908 Long DBT CORP US N 2 2025-08-15 Fixed 0.04375000 N N N N N N TRAVIS PERKINS PLC 2138001I27OUBAF22K83 N/A 1536000.00000000 PA 2064409.05000000 0.007152168189 Long DBT CORP GB N 2 2023-09-07 Fixed 0.04500000 N N N N N N ASSICURAZIONI GENERALI SPA 549300X5UKJVE386ZB61 N/A 2650000.00000000 PA 3565416.37000000 0.012352424798 Long EP CORP IT N 2 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J66F6 811910.99750000 PA USD 871204.78000000 0.003018298681 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EP5H3 13811000.72340000 PA USD 15179958.16000000 0.052591134430 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 0.04500000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-AGLN N/A 61691TAS1 420000.00000000 PA USD 419492.89000000 0.001453337798 Long ABS-MBS CORP US N 2 2034-03-15 Variable 0.04808500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GDTN2 10772.32800000 PA USD 11973.72000000 0.000041483086 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.05000000 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 N/A 5863000.00000000 PA 6941712.09000000 0.024049638994 Long DBT NUSS ID N 2 2023-06-14 Fixed 0.02625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJLL0 254714.86910000 PA USD 296532.68000000 0.001027340778 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.06000000 N N N N N N PAMPA ENERGIA S.A 254900QNIK0CVURGML24 697660AA6 564000.00000000 PA USD 459942.00000000 0.001593474191 Long DBT CORP AR N 2 2027-01-24 Fixed 0.07500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QFEZ3 44557.99920000 PA USD 46543.93000000 0.000161251964 Long ABS-MBS USGSE US N 2 2035-10-01 Variable 0.04061000 N N N N N N BANK OF AMER MERRILL LYNCH COML MTG TR 2017-BNK3 N/A 06427DAX1 610000.00000000 PA USD 666680.47000000 0.002309721927 Long ABS-MBS CORP US N 2 2050-02-15 Variable 0.04352000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205A7M0 86.07330000 PA USD 94.36000000 0.000000326911 Long ABS-MBS USGA US N 2 2024-10-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GNTT0 493705.59300000 PA USD 534465.09000000 0.001851660268 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NXC21 60146.29110000 PA USD 63587.64000000 0.000220300088 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N CENVEO CORP 549300Q5ZSKHLXJ0YR63 N/A 2500.00000000 NS USD 72900.00000000 0.000252562863 Long EC CORP US N 3 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209N4P4 1005.02640000 PA USD 1161.26000000 0.000004023198 Long ABS-MBS USGA US N 2 2030-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207BR69 1072.20930000 PA USD 1205.53000000 0.000004176572 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N ANHEUSER-BUSCH INBEV FIN INC 5493000EYEKDT0FBSQ91 035242AN6 28689000.00000000 PA USD 35159496.40000000 0.121810467604 Long DBT CORP US N 2 2046-02-01 Fixed 0.04900000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295CKW0 41417.13670000 PA USD 44050.53000000 0.000152613552 Long ABS-MBS USGA US N 2 2043-09-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371LPN3 93630.95260000 PA USD 102399.20000000 0.000354763171 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203KB45 964.47520000 PA USD 1029.40000000 0.000003566367 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N CSMC 2018-SITE N/A 12690CAJ2 4923000.00000000 PA USD 5199837.52000000 0.018014895110 Long ABS-MBS CORP US N 2 2036-04-15 Variable 0.04782040 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38376XNT6 2481810.05840000 PA USD 2486503.41000000 0.008614518809 Long ABS-CBDO USGA US N 2 2060-03-20 Variable 0.02209500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206YFN6 1271.52960000 PA USD 1414.13000000 0.000004899269 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XTKB3 347892.89500000 PA USD 375143.35000000 0.001299688322 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291BZC4 2611.55480000 PA USD 2887.85000000 0.000010004988 Long ABS-MBS USGA US N 2 2033-11-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410F5B7 165942.67620000 PA USD 192812.08000000 0.000667999602 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180HJ33 41673.04540000 PA USD 45265.17000000 0.000156821686 Long ABS-MBS USGA US N 2 2043-08-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411HT42 3116.94660000 PA USD 3713.62000000 0.000012865877 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208WNF6 343.98760000 PA USD 390.57000000 0.000001353134 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HLG23 61070.84720000 PA USD 64747.37000000 0.000224317985 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200WQR5 13684.01330000 PA USD 16025.62000000 0.000055520939 Long ABS-MBS USGA US N 2 2034-09-15 Fixed 0.06500000 N N N N N N BERRY GLOBAL INC 549300AP2Q7ERHX6RI89 08579JBD3 5090205.09000000 PA USD 5020214.77000000 0.017392590088 Long LON CORP US N 2 2022-10-01 Variable 0.03670880 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209NPR7 580.13170000 PA USD 659.81000000 0.000002285919 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210EAL3 934.67820000 PA USD 1070.66000000 0.000003709313 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 0.07000000 N N N N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 N/A 3200000.00000000 PA USD 3374789.70000000 0.011691996573 Long DBT CORP NL N 2 2028-03-27 Variable 0.04400000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292LN76 462471.19800000 PA USD 493933.07000000 0.001711236632 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.03500000 N N N N N N SOUTH AFRICA REPUBLIC OF 549300KEVMSOSY8T8R35 836205AT1 195000.00000000 PA USD 203957.81000000 0.000706614108 Long DBT NUSS ZA N 2 2026-04-14 Fixed 0.04875000 N N N N N N LAMB WESTON HOLDINGS INC 5493005SMYID1D2OY946 513272AA2 1367000.00000000 PA USD 1422814.61000000 0.004929357092 Long DBT CORP US N 2 2024-11-01 Fixed 0.04625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132DV3N3 599940.85000000 PA USD 623016.79000000 0.002158448620 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405ULM9 32471.50520000 PA USD 35452.12000000 0.000122824265 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.04500000 N N N N N N GS MTG SECS TR 2017-GS6 N/A 36253PAK8 1720000.00000000 PA USD 1637317.19000000 0.005672503674 Long ABS-MBS CORP US N 2 2050-05-10 Fixed 0.03243000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GW93 1743313.44760000 PA USD 1869749.35000000 0.006477767486 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38375C5E6 421906.01460000 PA USD 91910.83000000 0.000318426096 Long ABS-CBDO USGA US N 2 2042-06-16 Variable 0.05041500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L7E70 1877341.56100000 PA USD 1988630.18000000 0.006889631448 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.03500000 N N N N N N MA FINANCECO LLC N/A 81271EAB7 9876639.20300000 PA USD 9358115.64000000 0.032421296057 Long LON CORP US N 2 2024-06-21 Variable 0.04103380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410UPS5 1570.29650000 PA USD 1618.87000000 0.000005608593 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128NHTD5 51468.56510000 PA USD 54272.63000000 0.000188028132 Long ABS-MBS USGSE US N 2 2036-12-01 Variable 0.04325000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404NTC0 61435.36430000 PA USD 67406.29000000 0.000233529843 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31296PYK2 32007.80450000 PA USD 35801.16000000 0.000124033518 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213VWV6 2503.09450000 PA USD 2905.11000000 0.000010064786 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N ADARO INDONESIA PT 2549009Z0YED3S2BID40 69368KAB2 2415000.00000000 PA USD 2341934.18000000 0.008113657099 Long DBT CORP ID N 2 2024-10-31 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E4KN0 20022.34880000 PA USD 21812.00000000 0.000075567917 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407DQW8 1720.44940000 PA USD 1735.04000000 0.000006011065 Long ABS-MBS USGSE US N 2 2020-10-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KZW1 95170.92760000 PA USD 105810.27000000 0.000366580861 Long ABS-MBS USGA US N 2 2039-01-15 Fixed 0.05000000 N N N N N N BRAZIL, FEDERATIVE REPUBLIC OF 254900ZFY40OYEADAP90 105756BY5 809000.00000000 PA USD 968524.69000000 0.003355464595 Long DBT NUSS BR N 2 2047-02-21 Fixed 0.05625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGX66 12129767.78480000 PA USD 12835159.87000000 0.044467554590 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207V3U8 1058.69990000 PA USD 1196.87000000 0.000004146569 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416NJB9 44052.70290000 PA USD 47896.99000000 0.000165939656 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207XCK6 745.50330000 PA USD 845.74000000 0.000002930075 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KLV1 23640.11720000 PA USD 27704.96000000 0.000095984143 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.07000000 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAS5 2525000.00000000 PA USD 2658092.75000000 0.009208991992 Long DBT CORP US N 2 2028-04-15 Fixed 0.04875000 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 455780BR6 690000.00000000 PA USD 1030580.55000000 0.003570457815 Long DBT NUSS ID N 2 2044-01-15 Fixed 0.06750000 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137LAB1 4055000.00000000 PA USD 4385272.69000000 0.015192826167 Long DBT CORP US N 2 2024-01-25 Fixed 0.04030000 N N N N N N COLOMBIA TELECOMUNICACIONES S A ESP 549300CK4YN0V1C3MN55 19533PAB6 930000.00000000 PA USD 933255.00000000 0.003233272361 Long EP CORP CO N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JABQ0 96375.18000000 PA USD 100127.30000000 0.000346892148 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 0.03500000 N N N N N N DCP MIDSTREAM LLC VQOHU6HCVU6YY1KUKU03 23311RAE6 7220000.00000000 PA USD 7178124.00000000 0.024868690694 Long DBT CORP US N 2 2021-09-30 Fixed 0.04750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283HUA1 3917.93670000 PA USD 4531.60000000 0.000015699778 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407BM71 2482.98170000 PA USD 2891.33000000 0.000010017045 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N TITAN SUB LLC N/A 55303YAC7 1125000.00000000 PA USD 1117968.75000000 0.003873215209 Long LON CORP US N 2 2026-09-19 Variable 0.06603380 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QHYK0 23367.97650000 PA USD 24464.02000000 0.000084755870 Long ABS-MBS USGSE US N 2 2037-06-01 Variable 0.03978000 N N N N N N LUMINOR BANK AS/ESTONIA 213800JD2L89GGG7LF07 N/A 1250000.00000000 PA 1402485.67000000 0.004858927253 Long DBT CORP EE N 2 2022-10-21 Fixed 0.01375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212UCW9 115.11110000 PA USD 135.29000000 0.000000468713 Long ABS-MBS USGA US N 2 2031-01-15 Fixed 0.07500000 N N N N N N BELARUS REPUBLIC OF 635400CVCOWYLHF4ZB08 07737JAA1 243000.00000000 PA USD 278235.00000000 0.000963948262 Long DBT NUSS BY N 2 2027-06-29 Fixed 0.07625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177RAD3 10488.47760000 PA USD 11142.25000000 0.000038602449 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213E4D5 696.69650000 PA USD 808.59000000 0.000002801369 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296YGC0 52475.54770000 PA USD 58550.99000000 0.000202850558 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419HKA9 103866.08500000 PA USD 112930.03000000 0.000391247349 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GET67 96559.23180000 PA USD 106781.85000000 0.000369946910 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828Y38 157727500.00000000 PA USD 176004712.07000000 0.609770288911 Long DBT UST US N 2 2028-07-15 Fixed 0.00750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390CB54 171.83610000 PA USD 198.51000000 0.000000687740 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07000000 N N N N N N MORGAN STANLEY CAP I TR 2012-C4 5493005SNWQW3UUOQX45 61760VAE3 425000.00000000 PA USD 427402.91000000 0.001480742150 Long ABS-MBS CORP US N 2 2045-03-15 Variable 0.05419165 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225B6A1 10787.91140000 PA USD 11951.85000000 0.000041407317 Long ABS-MBS USGA US N 2 2034-07-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L5FJ7 128689.54930000 PA USD 136396.57000000 0.000472547438 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208FAU4 972.63610000 PA USD 1059.29000000 0.000003669922 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307TD99 64365.37800000 PA USD 66960.54000000 0.000231985538 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 0.03000000 N N N N N N BANCO MERCANTIL DEL NORTE SA GRAND CAYMAN BRH 549300QTVYRPFHS0J362 05962GAJ8 608000.00000000 PA USD 674880.00000000 0.002338129290 Long EP CORP KY N 2 N N N FED HOME LOAN MTG CORP - GOLD N/A 31335CA61 1296370.23400000 PA USD 1418170.70000000 0.004913268214 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31339DTC2 7386.37870000 PA USD 7483.96000000 0.000025928262 Long ABS-CBDO USGSE US N 2 2032-01-15 Variable 0.02458500 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 55500000.00000000 NC USD 2367584.49000000 0.008202522884 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-10-28 0.00000000 USD 0.00000000 USD 55500000.00000000 USD 1.00000000 1.78500000 USD 2024-10-24 XXXX 826071.99000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208YF95 458.23810000 PA USD 520.74000000 0.000001804109 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UGXF9 25623.06880000 PA USD 26725.70000000 0.000092591485 Long ABS-MBS USGSE US N 2 2041-06-01 Variable 0.04660000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402N3Z9 125529.37170000 PA USD 137403.63000000 0.000476036409 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M8C28 223226.10990000 PA USD 263824.02000000 0.000914021261 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 0.06000000 N N N N N N DBCCRE 2014-ARCP MORTGAGE TRUST N/A 23305MAL9 1487000.00000000 PA USD 1541382.27000000 0.005340136073 Long ABS-MBS CORP US N 2 2034-01-10 Variable 0.04934500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374XCZ1 86.98530000 PA USD 94.56000000 0.000000327604 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H022630 203275000.00000000 PA USD 208658860.34000000 0.722900949963 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MAD30 16522313.81000000 PA USD 17863180.54000000 0.061887188306 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31397CDM8 1674469.89840000 PA USD 1936518.24000000 0.006709089051 Long ABS-CBDO USGSE US N 2 2036-11-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5SZ3 2345.91480000 PA USD 2734.74000000 0.000009474537 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N BAMLL COML MTG SECS TR 2015-200P 549300UQK6PJ8BF5JQ90 05526QAN6 831000.00000000 PA USD 857583.86000000 0.002971108852 Long ABS-MBS CORP US N 2 2033-04-14 Variable 0.03595800 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402WLE6 95052.80030000 PA USD 103977.55000000 0.000360231382 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N CABLE ONE INC 549300648QS85T0XSH18 12685LAC4 633132.90000000 PA USD 634120.59000000 0.002196917859 Long LON CORP US N 2 2024-05-01 Variable 0.03360000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ELB36 26919.97410000 PA USD 29091.10000000 0.000100786440 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407H2U9 2229.07320000 PA USD 2437.98000000 0.000008446408 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0ZB7 237389.38250000 PA USD 261706.93000000 0.000906686579 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EMFX4 313603.39920000 PA USD 338405.88000000 0.001172410947 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132LAGH9 148029.78950000 PA USD 158146.50000000 0.000547900313 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223TUJ8 515.14350000 PA USD 536.49000000 0.000001858675 Long ABS-MBS USGA US N 2 2021-10-15 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AS2S7 187951.96570000 PA USD 204857.85000000 0.000709732307 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N SOLERA LLC / SOLERA FINANCE INC N/A 83422AAA1 14974000.00000000 PA USD 15816437.24000000 0.054796223305 Long DBT CORP US N 2 2024-03-01 Fixed 0.10500000 N N N N N N BAMLL COML MTG SECS TR 2019-RLJ N/A 05492HAL0 1365000.00000000 PA USD 1367672.26000000 0.004738315805 Long ABS-MBS CORP US N 2 2036-04-15 Variable 0.03608500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379HZZ6 110.30620000 PA USD 127.00000000 0.000000439992 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MDY97 2909474.96180000 PA USD 3120488.12000000 0.010810965911 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371M2L0 4426.37600000 PA USD 4861.15000000 0.000016841508 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 0.06500000 N N N N N N CHC COML MTG TR 2019-CHC N/A 162665AA1 28667000.00000000 PA USD 28653563.78000000 0.099270591445 Long ABS-MBS CORP US N 2 2034-06-15 Variable 0.02778500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P8GX3 11412118.57600000 PA USD 12159365.84000000 0.042126258632 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UGMY0 44174.92260000 PA USD 46029.17000000 0.000159468573 Long ABS-MBS USGSE US N 2 2041-05-01 Variable 0.04813000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ETQH2 5346447.83560000 PA USD 5697448.55000000 0.019738874076 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205DCA4 349.17270000 PA USD 385.42000000 0.000001335291 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200TKN7 1930.66450000 PA USD 2246.98000000 0.000007784687 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200RG71 133.86480000 PA USD 155.88000000 0.000000540047 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292LYR0 3663306.59560000 PA USD 3881551.75000000 0.013447679350 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390F5F2 251.87660000 PA USD 293.97000000 0.000001018462 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07000000 N N N N N N DIGITAL REALTY TRUST LP CD4SPTZ3YBTHY0C1AH38 25389JAQ9 19502000.00000000 PA USD 22368329.27000000 0.077495326352 Long DBT CORP US N 2 2025-10-01 Fixed 0.04750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203NBF4 629.98860000 PA USD 720.10000000 0.000002494794 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376LFD1 2503.87480000 PA USD 2826.88000000 0.000009793757 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7DY6 14710.81150000 PA USD 16347.74000000 0.000056636927 Long ABS-MBS USGSE US N 2 2026-12-01 Fixed 0.07000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38375KNC2 198000.39860000 PA USD 46011.37000000 0.000159406904 Long ABS-CBDO USGA US N 2 2037-06-16 Variable 0.05031500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417C2P9 942021.44830000 PA USD 998275.48000000 0.003458536539 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAS9 3672000.00000000 PA USD 4114294.05000000 0.014254017645 Long DBT CORP US N 2 2029-02-15 Fixed 0.04800000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36292L6J8 6781.80670000 PA USD 7564.00000000 0.000026205562 Long ABS-MBS USGA US N 2 2036-05-15 Fixed 0.05000000 N N N N N N ARES CLO N/A 04017WAC6 20251000.00000000 PA USD 20257075.30000000 0.070180863414 Long ABS-CBDO CORP KY N 2 2032-10-15 Variable 0.03165750 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210EHT9 1176.94150000 PA USD 1367.51000000 0.000004737753 Long ABS-MBS USGA US N 2 2031-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XKD1 233639.14770000 PA USD 253918.32000000 0.000879702852 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PESQ2 1338.03490000 PA USD 1367.79000000 0.000004738723 Long ABS-MBS USGSE US N 2 2021-08-01 Fixed 0.07000000 N N N N N N GTT COMMUNICATIONS INC 549300ETSL7K1ZX05H30 36250LAP9 4337684.40000000 PA USD 3644088.66000000 0.012624985825 Long LON CORP US N 2 2025-05-31 Variable 0.04350000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224WRM7 306.83880000 PA USD 328.54000000 0.000001138230 Long ABS-MBS USGA US N 2 2023-05-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224E6Y4 392.84090000 PA USD 414.72000000 0.000001436802 Long ABS-MBS USGA US N 2 2022-07-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ATYB7 52759.80390000 PA USD 58769.23000000 0.000203606653 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176Q6C3 49055.36090000 PA USD 53161.19000000 0.000184177535 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N FIRST FRANKLIN MTG LOAN TR N/A 32027NHK0 433.55900000 PA USD 428.34000000 0.000001483988 Long ABS-CBDO CORP US N 2 2034-03-25 Variable 0.02451750 N N N N N N BCP RAPTOR II LLC 254900ZZQV4TQNP45753 05550DAB0 2218850.00000000 PA USD 1886022.50000000 0.006534145996 Long LON CORP US N 2 2025-11-03 Variable 0.06353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412LUZ1 14171.17470000 PA USD 15616.94000000 0.000054105062 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C6EG6 28097.80170000 PA USD 30493.43000000 0.000105644828 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNMM8 109540.12800000 PA USD 118907.73000000 0.000411957157 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405WSY2 9761.56180000 PA USD 10155.68000000 0.000035184466 Long ABS-MBS USGSE US N 2 2034-07-01 Variable 0.04221000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376LFF6 709.67720000 PA USD 800.28000000 0.000002772578 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F5AQ6 6388540.54150000 PA USD 6821930.83000000 0.023634655482 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209DRN6 520.93880000 PA USD 596.73000000 0.000002067377 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MLK86 68824.50670000 PA USD 75404.24000000 0.000261238830 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392CHM9 8996.88710000 PA USD 9116.45000000 0.000031584042 Long ABS-CBDO USGSE US N 2 2032-02-25 Variable 0.02426750 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297BG96 26525.00760000 PA USD 29242.16000000 0.000101309789 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N PINE STR TR I N/A 722844AA5 19248000.00000000 PA USD 21807390.58000000 0.075551948001 Long DBT CORP US N 2 2029-02-15 Fixed 0.04572000 N N N N N N AMERICA MOVIL SAB DE CV 5493000FNR3UCEAONM59 02364WBD6 5873000.00000000 PA USD 6054695.94000000 0.020976561645 Long DBT CORP MX N 2 2022-07-16 Fixed 0.03125000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GMJF0 14389.02230000 PA USD 15682.49000000 0.000054332161 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.04000000 N N N N N N SUGARHOUSE HSP GAMING PROP MEZZ LP / SUGARHOUSE HSP GAMING FIN CORP N/A 865033AC8 618000.00000000 PA USD 605640.00000000 0.002098246538 Long DBT CORP US N 2 2025-05-15 Fixed 0.05875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A8KR3 66570.92360000 PA USD 73556.70000000 0.000254838007 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4TF3 56596395.36000000 PA USD 59056284.11000000 0.204601155277 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03500000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2018-H4 N/A 61691RAE6 7706000.00000000 PA USD 9093096.95000000 0.031503135848 Long ABS-MBS CORP US N 2 2051-12-15 Fixed 0.04310000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 N/A 2350000.00000000 PA 2627152.05000000 0.009101797592 Long DBT CORP GB N 2 2028-02-07 Variable 0.02000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AVG0 580441.02320000 PA USD 603407.16000000 0.002090510838 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230RTF3 3827.93770000 PA USD 4228.97000000 0.000014651313 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206FP22 155.84110000 PA USD 172.02000000 0.000000595965 Long ABS-MBS USGA US N 2 2025-06-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AUF3 287352.07380000 PA USD 298721.65000000 0.001034924489 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201E4U1 183.15300000 PA USD 193.21000000 0.000000669378 Long ABS-MBS USGA US N 2 2032-09-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176YET0 28355.26010000 PA USD 30905.76000000 0.000107073350 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230SKA1 191643.92580000 PA USD 203769.16000000 0.000705960528 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283G6U6 597.37240000 PA USD 673.10000000 0.000002331962 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176K2B2 41186.16150000 PA USD 44659.10000000 0.000154721950 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283GY92 57.58560000 PA USD 63.47000000 0.000000219892 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E0LM9 513446.21600000 PA USD 548598.64000000 0.001900626109 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208VEX9 228.33080000 PA USD 257.67000000 0.000000892700 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N NOSTRUM OIL and GAS FINANCE BV 213800SGF6UKA42KSB50 66978CAB8 7356000.00000000 PA USD 3323992.50000000 0.011516009106 Long DBT CORP NL N 2 2022-07-25 Fixed 0.08000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD N/A 31307SFA6 902873.00800000 PA USD 944636.93000000 0.003272705184 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.03000000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAM5 24512000.00000000 PA USD 26304320.87000000 0.091131613170 Long DBT CORP US N 2 2027-12-01 Fixed 0.03950000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MBF51 44573.62120000 PA USD 45848.00000000 0.000158840907 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFJL2 9819.90080000 PA USD 10915.07000000 0.000037815381 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46625HJE1 11737000.00000000 PA USD 12228378.78000000 0.042365354733 Long DBT CORP US N 2 2022-09-23 Fixed 0.03250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213E2K1 1084.78910000 PA USD 1253.43000000 0.000004342522 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N BANCO BILBAO VIZCAYA ARGENTARIA S.A K8MS7FD7N5Z2WQ51AZ71 N/A 3400000.00000000 PA 3990481.61000000 0.013825068065 Long EP CORP ES N 2 N N N CSMC 2019-SKLZ N/A 12655GAL1 647000.00000000 PA USD 648228.59000000 0.002245795183 Long ABS-MBS CORP US N 2 2034-01-15 Variable 0.05258500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A15M9 54488.70570000 PA USD 59243.70000000 0.000205250459 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946FC5 171676.20390000 PA USD 187698.74000000 0.000650284379 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3136A0U39 94237.63510000 PA USD 4670.67000000 0.000016181588 Long ABS-CBDO USGSE US N 2 2026-09-25 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207US74 84.78500000 PA USD 89.45000000 0.000000309900 Long ABS-MBS USGA US N 2 2027-05-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BJP2 409375.70290000 PA USD 425573.35000000 0.001474403619 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176W2N0 214673.35970000 PA USD 232641.07000000 0.000805987582 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A 31.00000000 NC USD 63150.26000000 0.000218784780 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UNDERLYING TREASURY 2 YR NOTE GENERIC IV FOR FUTURES TRADING 2020-06-30 6705021.62000000 USD 63150.26000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36181GFY0 71083.03080000 PA USD 75358.29000000 0.000261079636 Long ABS-MBS USGA US N 2 2043-07-15 Fixed 0.03500000 N N N N N N MORGAN STANLEY BK OF AMER MERRILL LYNCH TR 2014-C17 N/A 61763UBA9 82022120.51760000 PA USD 3010269.24000000 0.010429111372 Long ABS-MBS CORP US N 2 2047-08-15 Variable 0.01108448 N N N N N N VALVOLINE INC 549300CMHPBEY6VPOT75 92047WAC5 1790000.00000000 PA USD 1864285.00000000 0.006458836185 Long DBT CORP US N 2 2024-07-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203LG22 409.92540000 PA USD 436.10000000 0.000001510873 Long ABS-MBS USGA US N 2 2023-04-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209LMZ6 276.38590000 PA USD 320.78000000 0.000001111345 Long ABS-MBS USGA US N 2 2031-04-15 Fixed 0.07000000 N N N N N N LG and E and KU ENERGY LLC N/A 50188FAD7 924000.00000000 PA USD 932879.14000000 0.003231970190 Long DBT CORP US N 2 2020-11-15 Fixed 0.03750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206DG68 1541.02020000 PA USD 1705.04000000 0.000005907130 Long ABS-MBS USGA US N 2 2025-12-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31396HLM9 110904.32990000 PA USD 26596.85000000 0.000092145083 Long ABS-CBDO USGSE US N 2 2036-02-15 Variable 0.04941500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408GBA4 1015.46730000 PA USD 1200.67000000 0.000004159734 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206NJZ9 147.52650000 PA USD 164.07000000 0.000000568422 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31400D6K3 101167.39760000 PA USD 110716.28000000 0.000383577787 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208FCP3 242.00550000 PA USD 274.55000000 0.000000951181 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N CCO HLDGS LLC/CCO HLDGS CAP CORP N/A 1248EPBX0 12200000.00000000 PA USD 12688000.00000000 0.043957717578 Long DBT CORP US N 2 2028-02-01 Fixed 0.05000000 N N N N N N WEATHERFORD INTL LTD 549300A2JKMG5PGOGF82 947075AP2 2989000.00000000 PA USD 2858679.60000000 0.009903927372 Long DBT CORP BM N 2 2024-12-01 Fixed 0.11000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J75K4 48090.75070000 PA USD 52158.27000000 0.000180702908 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202D7D7 3472.13800000 PA USD 3678.31000000 0.000012743546 Long ABS-MBS USGA US N 2 2034-06-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177TMR5 79375.85430000 PA USD 86465.94000000 0.000299562213 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFUJ4 8572.13800000 PA USD 9493.05000000 0.000032888777 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.04500000 N N N N N N ALIXPARTNERS LLP 5493005G2MHUFTGARL57 01642PAW6 2090504.75000000 PA USD 2038242.13000000 0.007061512603 Long LON CORP US N 2 2024-04-04 Variable 0.04103380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AK98 1256220.75610000 PA USD 1305140.13000000 0.004521672543 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223U5S3 322.96370000 PA USD 335.87000000 0.000001163625 Long ABS-MBS USGA US N 2 2022-01-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213JKH7 386.23040000 PA USD 449.26000000 0.000001556466 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E2W49 87217.85520000 PA USD 94005.17000000 0.000325681960 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.04000000 N N N N N N US ANESTHESIA PARTNERS INC 549300J001GMNRO7SQ51 90350HAF6 3415335.50000000 PA USD 3201877.03000000 0.011092938698 Long LON CORP US N 2 2024-06-23 Variable 0.04603380 N N N N N N AMERILIFE HOLDINGS LLC N/A N/A 127840.91000000 PA USD 126562.50000000 0.000438477193 Long LON CORP US N 2 2027-02-06 Variable 0.00000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DZF1 829492.76280000 PA USD 913774.04000000 0.003165780357 Long ABS-MBS USGA US N 2 2033-09-20 Fixed 0.05000000 N N N N N N BANK 2019-BNK20 N/A 06540AAM3 1743000.00000000 PA USD 1600802.57000000 0.005545998366 Long ABS-MBS CORP US N 2 2062-09-15 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371LR76 79417.31820000 PA USD 87113.94000000 0.000301807217 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297BFB2 44832.00490000 PA USD 48871.10000000 0.000169314471 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.04000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -30000000.00000000 NC USD -744854.70000000 -0.00258055741 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2030-02-26 0.00000000 USD 0.00000000 USD -30000000.00000000 USD 1.00000000 1.39500000 USD 2025-02-24 XXXX 137145.30000000 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FTL0 1499758.45270000 PA USD 1641684.19000000 0.005687633194 Long ABS-MBS USGA US N 2 2041-05-20 Fixed 0.04500000 N N N N N N VM CONSOLIDATED INC N/A 00215NAF7 3779486.36000000 PA USD 3732242.78000000 0.012930396757 Long LON CORP US N 2 2025-02-28 Variable 0.05397000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407MMS1 1746.52410000 PA USD 2052.70000000 0.000007111602 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178MPX3 54979.82420000 PA USD 58170.59000000 0.000201532658 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202F4Q6 35234.25200000 PA USD 37509.86000000 0.000129953328 Long ABS-MBS USGA US N 2 2042-03-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204USL6 143.54630000 PA USD 155.13000000 0.000000537449 Long ABS-MBS USGA US N 2 2024-01-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193GA54 2477980.91400000 PA USD 2642668.02000000 0.009155552843 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N CREDITO REAL S A DE C V SOCIEDAD FINANCIERA DE OBJETO MULTIPLE ENTIDAD NO REGULADA 549300W2IL7TPPCTKL39 22550GAA0 855000.00000000 PA USD 966150.00000000 0.003347237455 Long DBT CORP MX N 2 2026-02-07 Fixed 0.09500000 N N N N N N BCAP LLC 2012-RR5 TR N/A 05539DBX7 344166.23510000 PA USD 341213.39000000 0.001182137597 Long ABS-CBDO CORP US N 2 2036-07-26 Variable 0.01857750 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PD6Y1 2078.32470000 PA USD 2094.53000000 0.000007256522 Long ABS-MBS USGSE US N 2 2020-11-01 Fixed 0.05500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377WN83 618897.16500000 PA USD 112771.98000000 0.000390699783 Long ABS-CBDO USGA US N 2 2041-07-20 Variable 0.04453000 N N N N N N HAT Holdings I LLC / HAT Holdings II LLC N/A 418751AA1 670000.00000000 PA USD 700150.00000000 0.002425677487 Long DBT CORP US N 2 2024-07-15 Fixed 0.05250000 N N N N N N CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 549300PXR5FKNXF0OH19 225433AT8 23347000.00000000 PA USD 24807772.29000000 0.085946803915 Long DBT CORP GG N 2 2023-06-09 Fixed 0.03800000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 N/A 3450000.00000000 PA 4472668.07000000 0.015495608436 Long DBT CORP DK N 2 2028-01-14 Variable 0.02250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178QFJ6 40266.75930000 PA USD 42776.67000000 0.000148200250 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201LUL6 201.38780000 PA USD 234.38000000 0.000000812012 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JC6 7797000.00000000 PA USD 8632026.97000000 0.029905753757 Long DBT CORP US N 2 2026-11-20 Fixed 0.04300000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194GLR3 191684.61130000 PA USD 204613.34000000 0.000708885199 Long ABS-MBS USGA US N 2 2046-07-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31380MAU0 1025.85960000 PA USD 1176.92000000 0.000004077452 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128L13Y4 41161.65200000 PA USD 48699.00000000 0.000168718228 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206RET9 65.04300000 PA USD 72.61000000 0.000000251558 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208FNR7 224.64410000 PA USD 256.27000000 0.000000887850 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31372U6R4 149.49910000 PA USD 157.78000000 0.000000546630 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371LPM5 66510.85750000 PA USD 72886.81000000 0.000252517166 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407HDC7 2065.76580000 PA USD 2429.02000000 0.000008415366 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385QVT6 1927.84340000 PA USD 2175.18000000 0.000007535935 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LG34 534380.34590000 PA USD 596750.07000000 0.002067447276 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379X3S2 1482.15340000 PA USD 1540.62000000 0.000005337495 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412PE31 22631.27400000 PA USD 25079.60000000 0.000086888554 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38380T6K7 7071903.76200000 PA USD 7373019.06000000 0.025543906805 Long ABS-CBDO USGA US N 2 2045-11-16 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A2CW7 27049.46400000 PA USD 29397.28000000 0.000101847204 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419ATJ6 292636.59000000 PA USD 305903.59000000 0.001059806400 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409WRB9 2005.91190000 PA USD 2039.25000000 0.000007065004 Long ABS-MBS USGSE US N 2 2021-03-01 Fixed 0.06000000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAF0 12566000.00000000 PA USD 13847468.62000000 0.047974709550 Long DBT CORP US N 2 2028-06-15 Fixed 0.04950000 N N N N N N ROYAL BANK OF SCOTLAND GRP PLC (UNGTD) 2138005O9XJIJN4JPN90 780097AY7 26301000.00000000 PA USD 29099973.72000000 0.100817183664 Long DBT CORP GB N 2 2023-06-10 Fixed 0.06100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y8BB5 33005.27600000 PA USD 36458.83000000 0.000126312023 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04500000 N N N N N N UZBEKISTAN REPUBLIC OF 213800L6VDKUM3TCM927 91822Q2B2 145000.00000000 PA USD 153020.31000000 0.000530140571 Long DBT NUSS UZ N 2 2024-02-20 Fixed 0.04750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASKR9 34206.32090000 PA USD 37984.89000000 0.000131599075 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JMMH9 56733.02790000 PA USD 61478.32000000 0.000212992325 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AVP90 3117750.76580000 PA USD 3396424.06000000 0.011766949054 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203STN7 39.55840000 PA USD 41.81000000 0.000000144851 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GYQM4 49929.48600000 PA USD 53864.34000000 0.000186613606 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BT24 639.32490000 PA USD 738.71000000 0.000002559269 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N COMM 2013-CCRE10 MTG TR 549300YJIXJB9DCDOI21 12626BAW4 1490000.00000000 PA USD 1583233.77000000 0.005485131062 Long ABS-MBS CORP US N 2 2046-08-10 Variable 0.04789003 N N N N N N FIRST QUANTUM MINERALS LTD 549300I7UVBGWRYMYZ18 335934AK1 11557000.00000000 PA USD 11094720.00000000 0.038437781240 Long DBT CORP CA N 2 2023-04-01 Fixed 0.07250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 362166VH0 46.58700000 PA USD 47.68000000 0.000000165187 Long ABS-MBS USGA US N 2 2022-03-15 Fixed 0.08000000 N N N N N N MADISON PK FDG XXXVII LLC N/A 55817EAA4 22042000.00000000 PA USD 22046408.40000000 0.076380027906 Long ABS-CBDO CORP KY N 2 2032-07-15 Variable 0.03131250 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128LUB39 20907.73330000 PA USD 21937.13000000 0.000076001431 Long ABS-MBS USGSE US N 2 2036-04-01 Variable 0.04739000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290SYN5 1774.10240000 PA USD 2004.27000000 0.000006943815 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211AAN6 114.49240000 PA USD 125.84000000 0.000000435974 Long ABS-MBS USGA US N 2 2029-09-15 Fixed 0.07000000 N N N N N N TRICON AMERN HOMES 2017-SFR1 TR N/A 89613DAF0 1681000.00000000 PA USD 1740011.00000000 0.006028287525 Long ABS-CBDO CORP US N 2 2034-09-17 Fixed 0.05151000 N N N N N N WR GRACE and CO - CONN 549300GJVOEHHLSO6K25 92940JAD0 802629.62000000 PA USD 792596.75000000 0.002745960284 Long LON CORP US N 2 2025-04-03 Variable 0.03694630 N N N N N N AVALONBAY COMMUNITIES INC K9G90K85RBWD2LAGQX17 05348EAS8 3189000.00000000 PA USD 3210095.94000000 0.011121413203 Long DBT CORP US N 2 2020-10-01 Fixed 0.03625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QLVP5 50870.95330000 PA USD 55525.34000000 0.000192368160 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295R5H7 135209.64760000 PA USD 149229.18000000 0.000517006159 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N TRAVELPORT FIN (LUX) SARL 2221005SGFWYZHL40F77 N/A 1250000.00000000 PA USD 875000.00000000 0.003031447263 Long LON CORP LU N 2 2027-05-28 Variable 0.10944630 N N N N N N PARTY CITY HLDGS INC 5493005PYM1JS6EZN307 70215EAN3 2795817.56100000 PA USD 2544193.98000000 0.008814388433 Long LON CORP US N 2 2022-08-19 Variable 0.04100420 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417Y2Z9 98963.90080000 PA USD 109946.89000000 0.000380912227 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617M76Y9 393829.18700000 PA USD 423941.45000000 0.001468749884 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376YG34 549.13610000 PA USD 619.21000000 0.000002145259 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.07500000 N N N N N N BCPE EMPIRE HLDGS INC 549300O2G0VI2955B626 05550HAB1 1041693.04000000 PA USD 1031276.11000000 0.003572867590 Long LON CORP US N 2 2026-06-11 Variable 0.05603380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C3VQ2 13353.52940000 PA USD 14874.52000000 0.000051532940 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385HX98 2392.43340000 PA USD 2812.55000000 0.000009744110 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.07500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38379AEF3 4980004.65560000 PA USD 5367246.33000000 0.018594884800 Long ABS-CBDO USGA US N 2 2044-02-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMXM0 1521786.40700000 PA USD 1566604.54000000 0.005427518909 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.02500000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAT4 4094000.00000000 PA USD 4310517.04000000 0.014933834383 Long DBT CORP IT N 2 2024-06-26 Fixed 0.05017000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390DNM2 2819.95950000 PA USD 3336.36000000 0.000011558856 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07000000 N N N N N N APRO LLC 549300HALLMPVGYAKP14 03834XAJ2 1361111.11000000 PA USD 1345798.61000000 0.004662534301 Long LON CORP US N 2 2026-11-14 Variable 0.05650130 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NQ50 24961188.48600000 PA USD 26822359.60000000 0.092926364130 Long ABS-MBS USGA US N 2 2043-10-20 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NDR6 9492846.09180000 PA USD 10091110.88000000 0.034960766245 Long ABS-MBS USGA US N 2 2043-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KDJ4 43886.39990000 PA USD 48694.72000000 0.000168703400 Long ABS-MBS USGA US N 2 2035-04-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QPPY4 285097.68030000 PA USD 308053.03000000 0.001067253159 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.04000000 N N N N N N MTN MAURITIUS INVESTMENTS LTD 2549009PQD415OQIR074 55377XAB2 424000.00000000 PA USD 483757.50000000 0.001675983256 Long DBT CORP MU N 2 2026-10-13 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412WJ72 7939.19450000 PA USD 8269.85000000 0.000028650987 Long ABS-MBS USGSE US N 2 2022-08-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31397G6Z8 678315.38660000 PA USD 166836.96000000 0.000578008509 Long ABS-CBDO USGSE US N 2 2037-03-15 Variable 0.05091500 N N N N N N JPMDB COML MTG SECS TR 2017-C7 N/A 46648KBA3 347000.00000000 PA USD 378549.76000000 0.001311489867 Long ABS-MBS CORP US N 2 2050-10-15 Variable 0.04184283 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EK7K5 27280.79120000 PA USD 29580.48000000 0.000102481903 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E6YX8 85637.84610000 PA USD 93137.18000000 0.000322674799 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAM7 22114000.00000000 PA USD 22526938.70000000 0.078044830492 Long DBT CORP IE N 2 2024-08-14 Fixed 0.02875000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AK0 6204000.00000000 PA USD 6328080.00000000 0.021923703771 Long DBT CORP US N 2 2026-08-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XYDJ3 1523756.66200000 PA USD 1630255.82000000 0.005648039479 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179S5M5 4449451.34400000 PA USD 4713081.78000000 0.016328524417 Long ABS-MBS USGA US N 2 2047-05-20 Fixed 0.04000000 N N N N N N VB-S1 ISSUER LLC N/A 91823AAJ0 734000.00000000 PA USD 743860.48000000 0.002577112933 Long ABS-CBDO CORP US N 2 2048-02-15 Fixed 0.05250000 N N N N N N BUENOS AIRES CITY ARGENTINA 5299007MC8RF52X0ON96 N/A 450000.00000000 PA USD 380250.00000000 0.001317380368 Long DBT CORP AR N 2 2027-06-01 Fixed 0.07500000 N N N N N N PPL CAP FDG INC 549300MROK5WY0D2NU17 69352PAF0 4577000.00000000 PA USD 4806705.26000000 0.016652884008 Long DBT CORP US N 2 2023-06-01 Fixed 0.03400000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SSQ1 32441258.48900000 PA USD 34201933.18000000 0.118492979143 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378YNA8 438.46670000 PA USD 487.07000000 0.000001687459 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKVJ1 104963.54900000 PA USD 113301.15000000 0.000392533098 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291SF88 4772.83610000 PA USD 5297.32000000 0.000018352624 Long ABS-MBS USGA US N 2 2035-09-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203EG77 167.23820000 PA USD 179.63000000 0.000000622330 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7CL5 7712.11390000 PA USD 8464.85000000 0.000029326567 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31339NNN2 5814.07980000 PA USD 5910.17000000 0.000020475849 Long ABS-CBDO USGSE US N 2 2032-03-15 Variable 0.02558500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290QUC7 1589.26160000 PA USD 1758.53000000 0.000006092446 Long ABS-MBS USGA US N 2 2033-06-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371M3Q8 11179.74280000 PA USD 12341.31000000 0.000042756606 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X5X81 9352262.00000000 PA USD 9661836.84000000 0.033473541543 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W3QL0 333806.05640000 PA USD 352905.20000000 0.001222644003 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224GK56 416.69340000 PA USD 439.12000000 0.000001521336 Long ABS-MBS USGA US N 2 2022-06-15 Fixed 0.08000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H022630 -103000000.00000000 PA USD -105728016.80000000 -0.36629589396 Short ABS-MBS USGA US N 2 2050-03-01 Fixed 0.02500000 N N N N N N ASP CHROMAFLO INTERMEDIATE HOLDINGS INC 549300NWZNE7GRQDIF14 00215KAE6 488913.38000000 PA USD 475468.26000000 0.001647265092 Long LON CORP US N 2 2023-11-18 Variable 0.05103380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374USL1 404.65660000 PA USD 447.32000000 0.000001549745 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GRFB2 13610.66510000 PA USD 14834.16000000 0.000051393112 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N BRANDYWINE OPER PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AP8 15790000.00000000 PA USD 18302952.29000000 0.063410782441 Long DBT CORP US N 2 2029-10-01 Fixed 0.04550000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201PYS8 184.63600000 PA USD 212.75000000 0.000000737074 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176WX22 9302.32140000 PA USD 10147.77000000 0.000035157062 Long ABS-MBS USGA US N 2 2041-11-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390ETV4 2474.45950000 PA USD 2852.12000000 0.000009881201 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YKP56 327668.88220000 PA USD 350921.48000000 0.001215771383 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E0AY1 347598.74420000 PA USD 374648.98000000 0.001297975571 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N CROWN FINANCE US INC N/A 22834KAD3 748125.00000000 PA USD 692015.63000000 0.002397495871 Long LON CORP US N 2 2026-09-20 Variable 0.04103380 N N N N N N SOLERA LLC 549300F7JH48O4IYRX29 83421MAB4 3052863.10000000 PA USD 2996904.12000000 0.010382807764 Long LON CORP US N 2 2023-03-03 Variable 0.04363220 N N N N N N WFRBS COML MTG TR 2011-C5 N/A 92936JAS3 376000.00000000 PA USD 347811.02000000 0.001204995159 Long ABS-MBS CORP US N 2 2044-11-15 Variable 0.05250000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RCQ7 1727815.56540000 PA USD 1732493.45000000 0.006002242889 Long ABS-CBDO USGA US N 2 2064-08-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371HTB4 353.51380000 PA USD 407.20000000 0.000001410748 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07000000 N N N N N N MORGAN STANLEY CAP I TR 2015-MS1 N/A 61765DAC2 1371000.00000000 PA USD 1356396.66000000 0.004699251363 Long ABS-MBS CORP US N 2 2048-05-15 Variable 0.04031055 N N N N N N SAFFRON BORROWCO LLC N/A 78657FAB4 995000.00000000 PA USD 945250.00000000 0.003274829172 Long LON CORP US N 2 2025-06-20 Variable 0.08353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374GSR9 80.14930000 PA USD 90.64000000 0.000000314023 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A63Y4 1177.62640000 PA USD 1302.82000000 0.000004513634 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31393MSV4 31667.24580000 PA USD 32939.88000000 0.000114120581 Long ABS-CBDO USGSE US N 2 2023-03-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C04R6 212366.86610000 PA USD 234121.18000000 0.000811115440 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208PEN4 87.73260000 PA USD 100.18000000 0.000000347074 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N ILLINOIS ST N/A 452151LE1 13479272.74000000 PA USD 14260396.60000000 0.049405303145 Long DBT MUN US N 2 2023-06-01 Fixed 0.04950000 N N N N N N PENN NATIONAL GAMING INC N/A 707569AS8 4000000.00000000 PA USD 4140000.00000000 0.014343076196 Long DBT CORP US N 2 2027-01-15 Fixed 0.05625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418A2S6 484044.33950000 PA USD 503196.38000000 0.001743329473 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HEAR3 2286939.61500000 PA USD 2417027.14000000 0.008373817496 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205GHP9 439.74020000 PA USD 479.35000000 0.000001660713 Long ABS-MBS USGA US N 2 2024-09-15 Fixed 0.08000000 N N N N N N EGYPT, (ARAB) REP OF 529900GFIVH4086NMH82 03846JX21 385000.00000000 PA USD 391737.50000000 0.001357178939 Long DBT NUSS EG N 2 2032-01-15 Fixed 0.07052900 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810RL4 90996700.00000000 PA USD 114254275.29000000 0.395835211646 Long DBT UST US N 2 2045-02-15 Fixed 0.00750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ECHT3 51287.21470000 PA USD 55871.41000000 0.000193567123 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AGN76 10962.72350000 PA USD 12231.95000000 0.000042377727 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402ETM0 42231.67680000 PA USD 46249.49000000 0.000160231874 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395WMR5 403629.27640000 PA USD 442880.17000000 0.001534363290 Long ABS-CBDO USGSE US N 2 2035-07-15 Fixed 0.05000000 N N N N N N ILLINOIS ST N/A 452152GR6 2080000.00000000 PA USD 2152259.20000000 0.007456526014 Long DBT MUN US N 2 2021-07-01 Fixed 0.06200000 N N N N N N APX GROUP INC 549300OMQVKPRU98OE64 00213MAS3 314000.00000000 PA USD 298300.00000000 0.001033463678 Long DBT CORP US N 2 2023-09-01 Fixed 0.07625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193NW97 2446381.79900000 PA USD 2608968.82000000 0.009038801589 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GCE8 19870000.00000000 PA USD 21528151.50000000 0.074584521093 Long DBT CORP US N 2 2022-04-01 Fixed 0.08125000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297RXG7 3292.39000000 PA USD 3696.54000000 0.000012806704 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AA4Y6 1113000.00000000 PA USD 19390.80000000 0.000067179642 Long ABS-MBS USGSE US N 2 2043-01-25 Variable 0.02814598 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DZE4 3126693.14670000 PA USD 3330585.43000000 0.011538850386 Long ABS-MBS USGA US N 2 2043-03-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405E6P5 20593.27030000 PA USD 24168.95000000 0.000083733596 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N EMIRATE OF ABU DHABI 213800FER4348CINTA77 29135LAF7 1210000.00000000 PA USD 1233065.63000000 0.004271969634 Long DBT NUSS AE N 2 2049-09-30 Fixed 0.03125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376FF69 16.72520000 PA USD 18.07000000 0.000000062603 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 0.07500000 N N N N N N GS MTG SECS TR 2013-GCJ12 549300SSCQUZ3RRV2T53 36197XAM6 16203188.87930000 PA USD 613734.67000000 0.002126290612 Long ABS-MBS CORP US N 2 2046-06-10 Variable 0.01417633 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202EJE0 4323.70670000 PA USD 4775.53000000 0.000016544876 Long ABS-MBS USGA US N 2 2036-05-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207FKF7 323.89500000 PA USD 367.13000000 0.000001271925 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AT4 6090000.00000000 PA USD 6238596.00000000 0.021613685455 Long DBT CORP US N 2 2023-07-15 Fixed 0.05375000 N N N N N N TLG FINANCE SARL 549300VIITIKUS3JVN97 N/A 6200000.00000000 PA 7166865.45000000 0.024829685322 Long EP CORP LU N 2 N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SB89 29792075.81200000 PA USD 31548622.56000000 0.109300554893 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N BX TRUST 2019 N/A 056054AE9 10969909.00000000 PA USD 10987522.29000000 0.038066393577 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.02738500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QXCM7 352168.67000000 PA USD 380304.31000000 0.001317568525 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN N/A 87612BAY8 2816000.00000000 PA USD 2868856.32000000 0.009939184732 Long DBT CORP US N 2 2024-03-15 Fixed 0.06750000 N N N N N N MTN MAURITIUS INVESTMENTS LTD 2549009PQD415OQIR074 55377XAC0 525000.00000000 PA USD 544950.00000000 0.001887985355 Long DBT CORP MU N 2 2022-02-13 Fixed 0.05373000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209CS23 666.13100000 PA USD 740.15000000 0.000002564257 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N CHARLES RIVER LABS INTL INC 549300BSQ0R4UZ5KX287 159864AE7 515000.00000000 PA USD 518244.50000000 0.001795463853 Long DBT CORP US N 2 2028-05-01 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211HTJ0 366.91280000 PA USD 421.24000000 0.000001459390 Long ABS-MBS USGA US N 2 2029-06-15 Fixed 0.07000000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30 N/A 61766NBG9 266000.00000000 PA USD 285610.29000000 0.000989500036 Long ABS-MBS CORP US N 2 2049-09-15 Variable 0.04123382 N N N N N N INVENERGY THERMAL OPERATING I LLC 549300JF5R5BXJAMZL67 46123UAG3 1475653.92000000 PA USD 1471964.79000000 0.005099638439 Long LON CORP US N 2 2025-08-28 Variable 0.05103380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378RWA3 342.82460000 PA USD 389.33000000 0.000001348838 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ALSH1 17879.34480000 PA USD 18613.14000000 0.000064485431 Long ABS-MBS USGSE US N 2 2041-10-01 Variable 0.03907000 N N N N N N CITIGROUP COML MTG TR 2012-GC8 N/A 17328FAC9 834000.00000000 PA USD 732288.03000000 0.002537020051 Long ABS-MBS CORP US N 2 2056-08-10 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FWL7 1638.20030000 PA USD 1902.39000000 0.000006590851 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206JHG2 211.98160000 PA USD 231.45000000 0.000000801861 Long ABS-MBS USGA US N 2 2025-12-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209EFD9 350.46030000 PA USD 383.11000000 0.000001327288 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N CARVANA AUTO RECEIVABLES TR 2019-4 N/A 14686YAC1 4646000.00000000 PA USD 4661645.41000000 0.016150322539 Long ABS-CBDO CORP US N 2 2022-07-15 Fixed 0.02200000 N N N N N N JPMDB COML MTG SECS TR 2016-C4 N/A 46646RAB9 1242000.00000000 PA USD 1174238.72000000 0.004068163148 Long ABS-MBS CORP US N 2 2049-12-15 Variable 0.03090275 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KXM2 14064.88570000 PA USD 15292.27000000 0.000052980240 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36181TP62 296673.49100000 PA USD 315549.37000000 0.001093224313 Long ABS-MBS USGA US N 2 2043-11-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223XN40 831.69170000 PA USD 874.87000000 0.000003030996 Long ABS-MBS USGA US N 2 2022-05-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JMZ44 120206.65330000 PA USD 130261.04000000 0.000451290826 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5MX4 6293.17990000 PA USD 7033.58000000 0.000024367916 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N OI EUROPEAN GROUP BV 72450053F5WRDY8CDZ66 67777LAC7 3440000.00000000 PA USD 3478700.00000000 0.012051994966 Long DBT CORP NL N 2 2023-03-15 Fixed 0.04000000 N N N N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 N/A 6000000.00000000 PA 6918669.23000000 0.023969806749 Long DBT CORP LU N 2 2027-07-15 Fixed 0.01625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PDLD0 220.82380000 PA USD 221.63000000 0.000000767839 Long ABS-MBS USGSE US N 2 2020-06-01 Fixed 0.05500000 N N N N N N METINVEST BV 635400TMCKVEU87EJ582 591555AD9 4204000.00000000 PA USD 4340630.00000000 0.015038161069 Long DBT CORP NL N 2 2023-04-23 Fixed 0.07750000 N N N N N N ILIAD GROUP SA 969500FZ9BTRZS3JNB97 N/A 8500000.00000000 PA 9433026.41000000 0.032680825255 Long DBT CORP FR N 2 2021-11-25 Fixed 0.00625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193PJB2 126008.13910000 PA USD 134933.95000000 0.000467480175 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617K53Y8 3146927.72500000 PA USD 3335350.34000000 0.011555358470 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 0.04000000 N N N N N N CREATIVE ARTISTS AGENCY LLC 5493008FV5TCFL3KHH96 22526WAM0 1375000.00000000 PA USD 1365265.00000000 0.004729975826 Long LON CORP US N 2 2026-11-26 Variable 0.05353380 N N N N N N BERRY GLOBAL ESCROW CORP N/A 085770AA3 3335000.00000000 PA USD 3392362.00000000 0.011752876002 Long DBT CORP US N 2 2026-07-15 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FMM7 32263.86710000 PA USD 33382.21000000 0.000115653039 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.02500000 N N N N N N CALIFORNIA ST N/A 13063A5E0 5800000.00000000 PA USD 9614022.00000000 0.033307886496 Long DBT MUN US N 2 2034-04-01 Fixed 0.07500000 N N N N N N BOSTON PPTY LTD PARTNERSHIP BVHHEFJI6SHNOKQT2572 10112RAU8 3713000.00000000 PA USD 3944766.09000000 0.013666686136 Long DBT CORP US N 2 2023-02-01 Fixed 0.03850000 N N N N N N SBA TOWER TR N/A 78403DAN0 22598000.00000000 PA USD 23691058.48000000 0.082077936460 Long ABS-CBDO CORP US N 2 2050-01-15 Fixed 0.02836000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CZ1 27172000.00000000 PA USD 33441328.72000000 0.115857856504 Long DBT CORP US N 2 2048-03-25 Fixed 0.05050000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386STX5 537.29330000 PA USD 599.26000000 0.000002076142 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A87J6 748.36750000 PA USD 876.00000000 0.000003034911 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293TGM3 568.35440000 PA USD 643.31000000 0.000002228754 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209TPS2 1732.90040000 PA USD 1964.21000000 0.000006805027 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M5SZ6 45642.89420000 PA USD 50032.89000000 0.000173339505 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04500000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C31 N/A 61766RBE5 603000.00000000 PA USD 641909.00000000 0.002223900893 Long ABS-MBS CORP US N 2 2049-11-15 Variable 0.04313221 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ATC47 161258.46100000 PA USD 177777.36000000 0.000615911647 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAN4 7664000.00000000 PA USD 8234078.36000000 0.028527056358 Long DBT CORP US N 2 2024-09-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404QSP5 3591.51690000 PA USD 3933.64000000 0.000013628139 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132A9UP0 3173492.55400000 PA USD 3291123.45000000 0.011402133916 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203ATB2 55.35570000 PA USD 58.60000000 0.000000203020 Long ABS-MBS USGA US N 2 2023-03-15 Fixed 0.07500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 N/A 2345000.00000000 PA 2375998.80000000 0.008231674355 Long DBT CORP MX N 2 2027-04-21 Fixed 0.02750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411JA30 6991.36770000 PA USD 7235.79000000 0.000025068475 Long ABS-MBS USGSE US N 2 2022-11-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FGT3 970.41420000 PA USD 1060.74000000 0.000003674945 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 0.07000000 N N N N N N SABLE INTL FINANCE LTD 2138009IE9A35LO5JS73 785712AG5 1250000.00000000 PA USD 1303125.00000000 0.004514691103 Long DBT CORP KY N 2 2027-09-07 Fixed 0.05750000 N N N N N N VOYA FINANCIAL INC 549300T065Z4KJ686G75 929089AD2 8794000.00000000 PA USD 9301936.52000000 0.032226662868 Long DBT CORP US N 2 2024-07-15 Fixed 0.03125000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292HRE6 13639.22940000 PA USD 15848.33000000 0.000054906716 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.06500000 N N N N N N ZIGGO BOND CO 213800JYI4P7V5QDOG59 98954UAB9 7071000.00000000 PA USD 7451066.25000000 0.025814302165 Long DBT CORP NL N 2 2027-01-15 Fixed 0.06000000 N N N N N N 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC N/A 68245XAJ8 4880000.00000000 PA USD 4855600.00000000 0.016822280381 Long DBT CORP CA N 2 2028-01-15 Fixed 0.04375000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31300LC29 62169.58000000 PA USD 64834.37000000 0.000224619398 Long ABS-MBS USGSE US N 2 2037-02-01 Variable 0.03725000 N N N N N N GENERAL MTRS FINL CO INC 5493008B6JBRUJ90QL97 37045XAQ9 30556000.00000000 PA USD 31583739.14000000 0.109422216676 Long DBT CORP US N 2 2021-09-25 Fixed 0.04375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402KL44 115280.17640000 PA USD 125964.67000000 0.000436406004 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N BANK 2019-BNK19 N/A 06540WAJ2 672000.00000000 PA USD 638265.60000000 0.002211278293 Long ABS-MBS CORP US N 2 2061-08-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M5GR5 12328.13450000 PA USD 14621.36000000 0.000050655864 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 0.06000000 N N N N N N GS MTG SECS CORP TR 2019 5493005BBCF84ICNQ550 36257HAE6 546000.00000000 PA USD 476271.87000000 0.001650049208 Long ABS-MBS CORP US N 2 2052-07-10 Fixed 0.03000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128286T2 4025000.00000000 PA USD 4464133.78000000 0.015466041293 Long DBT UST US N 2 2029-05-15 Fixed 0.02375000 N N N N N N WILLIAMS COS INC D71FAKCBLFS2O0RBPG08 969457BV1 12223000.00000000 PA USD 14486516.87000000 0.050188699343 Long DBT CORP US N 2 2044-06-24 Fixed 0.05750000 N N N N N N UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC N/A 91327AAA0 495000.00000000 PA USD 510246.00000000 0.001767752960 Long DBT CORP US N 2 2025-02-15 Fixed 0.07875000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761JVL0 23877000.00000000 PA USD 25963648.28000000 0.089951349180 Long DBT CORP US N 2 2024-10-23 Fixed 0.03700000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARRZ6 25379.71490000 PA USD 27543.60000000 0.000095425109 Long ABS-MBS USGA US N 2 2040-12-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARLM1 31491.44720000 PA USD 34176.42000000 0.000118404588 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAN1 8844000.00000000 PA USD 9398518.80000000 0.032561273255 Long DBT CORP US N 2 2028-08-09 Variable 0.04682000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A3TX5 15735.19110000 PA USD 17289.16000000 0.000059898487 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GS MORTGAGE SECURITIES TRUST 54930070360RBP384M53 36255NAA3 835000.00000000 PA USD 762919.63000000 0.002643143571 Long ABS-MBS CORP US N 2 2051-03-10 Fixed 0.03000000 N N N N N N WORLDWIDE PLAZA TR 2017-WWP N/A 98162JAN6 348000.00000000 PA USD 352846.11000000 0.001222439285 Long ABS-MBS CORP US N 2 2036-11-10 Variable 0.03595543 N N N N N N ELEMENT SOLUTIONS INC 549300FLGN6P5CU20J91 72766QAD7 5514000.00000000 PA USD 5541680.28000000 0.019199213166 Long DBT CORP US N 2 2025-12-01 Fixed 0.05875000 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773CH1 2973000.00000000 PA USD 4959020.67000000 0.017180582446 Long DBT CORP US N 2 2038-03-01 Fixed 0.08250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 362165M25 243.23110000 PA USD 258.76000000 0.000000896476 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAB71 142678.47790000 PA USD 150752.84000000 0.000522284896 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N ALTICE FING SA 549300DIYGW8HVDF7Q17 02154CAE3 14513000.00000000 PA USD 15311215.00000000 0.053045875217 Long DBT CORP LU N 2 2026-05-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205FDF7 124.59580000 PA USD 128.10000000 0.000000443803 Long ABS-MBS USGA US N 2 2022-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176VUU5 315624.26710000 PA USD 329535.03000000 0.001141677788 Long ABS-MBS USGA US N 2 2045-04-15 Fixed 0.03000000 N N N N N N DAVIDS BRIDAL INC N/A N/A 61822.74000000 PA USD 61822.74000000 0.000214185572 Long LON CORP US N 3 2024-01-18 Variable 0.09950000 N N N N N N KINDER MORGAN ENERGY PARTNERS LP 549300PDHUGWPWGOT525 494550BF2 1203000.00000000 PA USD 1557340.98000000 0.005395425202 Long DBT CORP US N 2 2040-09-15 Fixed 0.06550000 N N N N N N TURKEY REPUBLIC OF 5493000PCHOG3B6S3Q85 900123CY4 675000.00000000 PA USD 612562.50000000 0.002122229616 Long DBT NUSS TR N 2 2030-03-13 Fixed 0.05250000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAA0 11371000.00000000 PA USD 11502960.46000000 0.039852134869 Long DBT CORP US N 2 2026-09-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207RFW0 105.46090000 PA USD 119.32000000 0.000000413385 Long ABS-MBS USGA US N 2 2027-01-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQYH9 10554885.01870000 PA USD 11309215.21000000 0.039180902288 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JF45 143058.21600000 PA USD 155542.29000000 0.000538877999 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376JRX9 348.45330000 PA USD 397.52000000 0.000001377212 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BKS6 921.82370000 PA USD 1084.87000000 0.000003758544 Long ABS-MBS USGA US N 2 2030-07-15 Fixed 0.08500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31359WKN0 91892.86760000 PA USD 101814.33000000 0.000352736882 Long ABS-CBDO USGSE US N 2 2029-07-25 Fixed 0.06000000 N N N N N N BRANDYWINE OPER PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AN3 13139000.00000000 PA USD 14342099.34000000 0.049688363199 Long DBT CORP US N 2 2024-10-01 Fixed 0.04100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379XP90 10124.29520000 PA USD 11581.89000000 0.000040125587 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211KN42 1710.75180000 PA USD 1976.70000000 0.000006848299 Long ABS-MBS USGA US N 2 2030-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YGYX4 192536.97740000 PA USD 205297.60000000 0.000711255826 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N TURK TELEKOMUNIKASYON 789000A2TXOI10JZLF90 90011QAC4 625000.00000000 PA USD 657421.88000000 0.002277645439 Long DBT CORP TR N 2 2025-02-28 Fixed 0.06875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9SW2 44414.11610000 PA USD 49019.30000000 0.000169827911 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.04500000 N N N N N N DBUBS 2011-LC1 MTG TR N/A 233050AE3 13328000.00000000 PA USD 28062.10000000 0.000097221458 Long ABS-MBS CORP US N 2 2046-11-10 Variable 0.00301897 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L7KC2 1415305.09180000 PA USD 1499204.24000000 0.005194009818 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407CK22 8042.55970000 PA USD 9455.75000000 0.000032759551 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NF78 312729.91900000 PA USD 332439.00000000 0.001151738625 Long ABS-MBS USGA US N 2 2043-06-20 Fixed 0.03500000 N N N N N N ZELIS PAYMENTS BUYER INC N/A 98932TAC7 1750000.00000000 PA USD 1735790.00000000 0.006013663823 Long LON CORP US N 2 2026-09-30 Variable 0.06353380 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAF2 13016000.00000000 PA USD 13838300.38000000 0.047942946080 Long DBT CORP IE N 2 2023-07-03 Fixed 0.04125000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335AK80 3997335.54600000 PA USD 4426774.90000000 0.015336611037 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205CHD5 298.06680000 PA USD 322.51000000 0.000001117339 Long ABS-MBS USGA US N 2 2024-04-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 362166UX6 362.66160000 PA USD 372.78000000 0.000001291500 Long ABS-MBS USGA US N 2 2021-10-15 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209AL57 372.73380000 PA USD 424.63000000 0.000001471135 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YHML1 75030.32600000 PA USD 80869.21000000 0.000280172280 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.04000000 N N N N N N MORGAN STANLEY CAP I TR 2011-C2 3IFG42XD94UUZ7FL2766 617459AL6 748000.00000000 PA USD 709757.83000000 0.002458963921 Long ABS-MBS CORP US N 2 2044-06-15 Variable 0.05487622 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375J2T6 42.87990000 PA USD 47.77000000 0.000000165499 Long ABS-MBS USGSE US N 2 2026-02-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283HXM2 5475.80960000 PA USD 6103.91000000 0.000021147064 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225ACY4 2.15220000 PA USD 2.18000000 0.000000007552 Long ABS-MBS USGA US N 2 2022-05-15 Fixed 0.09500000 N N N N N N EPIC CRUDE SERVICES LP 549300FRS682IQ7J9S42 29428XAB6 3000000.00000000 PA USD 2892000.00000000 0.010019366270 Long LON CORP US N 2 2026-03-01 Variable 0.06620000 N N N N N N COMM 2013-LC6 MTG TR N/A 20048EAE1 1664000.00000000 PA USD 1727785.45000000 0.005985931970 Long ABS-MBS CORP US N 2 2046-01-10 Variable 0.04267198 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X3EP3 8987234.17880000 PA USD 9695214.34000000 0.033589178264 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03500000 N N N N N N CHENIERE CORPUS CHRISTI HLD 549300I7CIEWU1BBLQ53 16412XAD7 956000.00000000 PA USD 1082115.25000000 0.003749000358 Long DBT CORP US N 2 2024-06-30 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209PPL5 432.32170000 PA USD 494.08000000 0.000001711745 Long ABS-MBS USGA US N 2 2028-11-15 Fixed 0.07000000 N N N N N N GS MTG SECS TR 2011-GC5 N/A 36191YAN8 773957.00000000 PA USD 728794.44000000 0.002524916469 Long ABS-MBS CORP US N 2 2044-08-10 Variable 0.05389211 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JPBN1 279014.85150000 PA USD 302352.35000000 0.001047503090 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 N/A 3246800.00000000 PA 4547586.77000000 0.015755165108 Long EP CORP NL N 2 N N N WESTERN GAS PARTNERS LP L6D8A6MLSY454J2JXJ60 958254AE4 3216000.00000000 PA USD 3263702.41000000 0.011307133417 Long DBT CORP US N 2 2025-06-01 Fixed 0.03950000 N N N N N N LEVEL 3 FINANCING INC N/A 52729KAP1 3326727.14000000 PA USD 3247717.37000000 0.011251753067 Long LON CORP US N 2 2027-03-01 Variable 0.03353380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J6AV6 213421.28890000 PA USD 227740.24000000 0.000789008602 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03500000 N N N N N N BANK 2017-BNK7 N/A 06650AAW7 1092000.00000000 PA USD 845883.07000000 0.002930571334 Long ABS-MBS CORP US N 2 2050-11-15 Fixed 0.02800000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36196HNU0 80563.55870000 PA USD 86324.69000000 0.000299072851 Long ABS-MBS USGA US N 2 2046-12-15 Fixed 0.04000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133TGWC9 146033.34240000 PA USD 161948.54000000 0.000561072523 Long ABS-CBDO USGSE US N 2 2028-11-15 Fixed 0.06000000 N N N N N N KNDL 2019-KNSQ MORTGAGE TRUST N/A 482598AQ2 1113000.00000000 PA USD 1107430.44000000 0.003836705116 Long ABS-MBS CORP US N 2 2036-05-15 Variable 0.03658500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386SBG1 5991.53750000 PA USD 7079.25000000 0.000024526140 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 0.07500000 N N N N N N ADVANCED DRAIN SYS INC DEL 6QQTOZ5MF5DHM7K92I60 00790RAA2 6400000.00000000 PA USD 6616000.00000000 0.022921205824 Long DBT CORP US N 2 2027-09-30 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NX7K7 546297.11560000 PA USD 581991.46000000 0.002016315907 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31398SVQ3 353363.67030000 PA USD 25187.48000000 0.000087262305 Long ABS-CBDO USGSE US N 2 2040-02-25 Fixed 0.04500000 N N N N N N CORECIVIC INC 529900JFA3K6PTLT8B15 22025YAP5 3895000.00000000 PA USD 3903569.00000000 0.013523958358 Long DBT CORP US N 2 2023-05-01 Fixed 0.04625000 N N N N N N BBCMS 2016-ETC MTG TR N/A 05491LAJ7 637000.00000000 PA USD 617054.83000000 0.002137793343 Long ABS-MBS CORP US N 2 2036-08-14 Variable 0.03608900 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFUL9 10923.44960000 PA USD 12096.97000000 0.000041910087 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N RETAIL OPPTY INVTS PRTNRSHP LP 549300KH0PNTJK9NTE57 76132FAB3 2151000.00000000 PA USD 2299331.00000000 0.007966057906 Long DBT CORP US N 2 2024-12-15 Fixed 0.04000000 N N N N N N SOUTHERN GAS CORRIDOR CJSC 213800DG58KG59XY6318 84302LAA0 781000.00000000 PA USD 928413.75000000 0.003216499796 Long DBT CORP AZ N 2 2026-03-24 Fixed 0.06875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376ABZ0 1457.92100000 PA USD 1648.30000000 0.000005710553 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 0.07500000 N N N N N N LEXINGTON CORP PPTYS TR REIT 549300S4MH2ICXDBFV43 529043AD3 2936000.00000000 PA USD 3105813.19000000 0.010760124452 Long DBT CORP US N 2 2024-06-15 Fixed 0.04400000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AWAE5 2618078.84290000 PA USD 2637479.85000000 0.009137578370 Long ABS-CBDO USGSE US N 2 2042-06-15 Fixed 0.01750000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FM60 4219627.73500000 PA USD 4496109.14000000 0.015576820285 Long ABS-MBS USGA US N 2 2040-12-20 Fixed 0.03500000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CR4 2231000.00000000 PA USD 2271475.09000000 0.007869550795 Long DBT CORP US N 2 2026-08-15 Fixed 0.03200000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209ETH5 1328.51190000 PA USD 1493.70000000 0.000005174940 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468G7 14132000.00000000 PA USD 16412113.69000000 0.056859951013 Long DBT CORP US N 2 2030-01-23 Variable 0.04431000 N N N N N N BAMLL COML MTG SECS TR 2019 N/A 05492PAE8 3196000.00000000 PA USD 3387816.57000000 0.011737128309 Long ABS-MBS CORP US N 2 2032-11-05 Fixed 0.03465000 N N N N N N UKRAINE CABINET OF MINISTERS 6354001WLTJXOMEXPY07 903724AR3 1485000.00000000 PA USD 1608997.50000000 0.005574389792 Long DBT NUSS UA N 2 2024-09-01 Fixed 0.07750000 N N N N N N BHP BILLITON FIN USA LTD N/A 055451AW8 4471000.00000000 PA USD 4560420.00000000 0.015799625977 Long DBT CORP AU N 2 2075-10-19 Variable 0.06250000 N N N N N N SPORTS AUTH INC NEW N/A 84917YAB7 1725585.61000000 PA USD 0.17000000 0.000000000588 Long LON CORP US N 3 2017-11-16 Variable 0.00000000 Y Y N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J62X1 312169.83400000 PA USD 330865.22000000 0.001146286246 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N NASCAR HOLDINGS INC 549300XWV2JTQZZOV244 63108EAB4 2241090.43000000 PA USD 2226523.34000000 0.007713814956 Long LON CORP US N 2 2026-10-18 Variable 0.04389380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292HYT5 58011.16500000 PA USD 64719.80000000 0.000224222469 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FMA1 5125626.87340000 PA USD 5527028.04000000 0.019148450317 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WVB91 77215.63170000 PA USD 81850.79000000 0.000283572975 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KK31 122242.75550000 PA USD 136376.18000000 0.000472476797 Long ABS-MBS USGA US N 2 2036-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389PQQ6 878.28700000 PA USD 1024.99000000 0.000003551089 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07000000 N N N N N N WFRBS COML MTG TR 2013-C11 N/A 92937EAJ3 801251.00000000 PA USD 832308.53000000 0.002883542189 Long ABS-MBS CORP US N 2 2045-03-15 Variable 0.04260562 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208DJ97 243.31180000 PA USD 272.54000000 0.000000944217 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212VD22 374.25540000 PA USD 433.61000000 0.000001502246 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 0.07000000 N N N N N N GOSFORTH FDG 2018-1 PLC N/A 38312RAA1 11653452.32000000 PA USD 11647707.17000000 0.040353611461 Long ABS-CBDO CORP GB N 2 2060-08-25 Variable 0.02129250 N N N N N N DYNASTY ACQUISITION CO INC 549300L1RCRPOAUCB870 26812CAE6 2231609.79000000 PA USD 2184188.08000000 0.007567143975 Long LON CORP US N 2 2026-04-08 Variable 0.05212750 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 11500000.00000000 NC USD 93061.45000000 0.000322412431 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 0.00000000 USD 4483.06000000 USD 11500000.00000000 USD 97544.51000000 N N N SPRINT COMMUNICATIONS INC 549300JKU50UT08ZWD77 85208EAD2 1732500.00000000 PA USD 1717340.63000000 0.005949745775 Long LON CORP US N 2 2024-02-02 Variable 0.04625000 N N N N N N CONSOLIDATED ENERGY FINANCE SA 549300PUNIS0USNSL750 20914UAC0 13342000.00000000 PA USD 13209000.54000000 0.045762729763 Long DBT CORP LU N 2 2022-06-15 Variable 0.05643630 N N N N N N WYNDHAM HOTELS and RESORTS INC 549300FE3MQ4RVXXC673 98310CAC6 2484550.00000000 PA USD 2458462.23000000 0.008517369828 Long LON CORP US N 2 2025-05-30 Variable 0.03353380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMD74 1475497.26800000 PA USD 1646325.32000000 0.005703712441 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N BENCHMARK 2019-B MORTGAGE TRUST N/A 08162YBM3 719000.00000000 PA USD 705310.31000000 0.002443555439 Long ABS-MBS CORP US N 2 2062-12-15 Variable 0.03294300 N N N N N N EXTELL BOSTON N/A N/A 489856.47000000 PA USD 495832.72000000 0.001717817991 Long LON CORP US N 3 2021-08-31 Variable 0.05149010 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2011-C4 N/A 46636DBA3 166000.00000000 PA USD 167745.94000000 0.000581157680 Long ABS-MBS CORP US N 2 2046-07-15 Fixed 0.03873000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208YGB9 304.38820000 PA USD 342.24000000 0.000001185694 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31397U4B2 117506.14870000 PA USD 7809.52000000 0.000027056169 Long ABS-CBDO USGSE US N 2 2026-07-25 Fixed 0.04000000 N N N N N N SINCLAIR TELEVISION GROUP INC 549300CQGEN0CH65UD62 82925BAE5 2199487.50000000 PA USD 2155497.75000000 0.007467746006 Long LON CORP US N 2 2026-09-30 Variable 0.04160000 N N N N N N CITIGROUP COML MTG TR 2020-GC46 N/A 17328RAJ8 136000.00000000 PA USD 111313.36000000 0.000385646377 Long ABS-MBS CORP US N 2 2053-01-15 Fixed 0.02600000 N N N N N N STUDIO CITY CO LTD N/A 86400GAB5 956000.00000000 PA USD 968547.50000000 0.003355543621 Long DBT CORP VG N 2 2021-11-30 Fixed 0.07250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMBT9 46.69550000 PA USD 46.74000000 0.000000161931 Long ABS-MBS USGSE US N 2 2020-04-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207AXT4 884.79130000 PA USD 977.90000000 0.000003387945 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N MORGAN STANLEY CAP CITIGROUP TR 2016-SNR N/A 61691CAA7 1294241.59000000 PA USD 1308315.17000000 0.004532672505 Long ABS-MBS CORP US N 2 2034-11-15 Variable 0.03348000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9MX6 2677.21210000 PA USD 2964.38000000 0.000010270127 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AA2J9 50023.50000000 PA USD 55325.78000000 0.000191676782 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAG6 14388000.00000000 PA USD 14418561.84000000 0.049953268383 Long DBT CORP US N 2 2020-06-04 Fixed 0.03100000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376XVN5 2430.54970000 PA USD 2763.03000000 0.000009572548 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.07500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHC6 32898000.00000000 PA USD 34090942.01000000 0.118108448996 Long DBT CORP US N 2 2023-12-20 Variable 0.03004000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404PCG4 57611.89930000 PA USD 63324.71000000 0.000219389164 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBDB6 317846.62340000 PA USD 344432.11000000 0.001193288888 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N WFRBS COML MTG TR 2011-C5 N/A 92936JAQ7 1146000.00000000 PA USD 1140696.54000000 0.003951955891 Long ABS-MBS CORP US N 2 2044-11-15 Variable 0.05250000 N N N N N N CHC COML MTG TR 2019-CHC N/A 162665AN3 2961000.00000000 PA USD 2957427.85000000 0.010246041786 Long ABS-MBS CORP US N 2 2034-06-15 Variable 0.04008500 N N N N N N CGDB COML MTG TR 2017-BIO N/A 125284AA7 10499000.00000000 PA USD 10492415.03000000 0.036351088950 Long ABS-MBS CORP US N 2 2036-11-15 Variable 0.02608500 N N N N N N MGM GROWTH PPTYS OPER PARTNERSHIP LP / MGP FIN CO-ISSUER INC N/A 55303XAJ4 1410000.00000000 PA USD 1543950.00000000 0.005349032003 Long DBT CORP US N 2 2027-02-01 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412QHM4 8248.59360000 PA USD 9024.96000000 0.000031267074 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.04000000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1 549300DNBJ7A0SEFVK31 95000GAJ3 487000.00000000 PA USD 395746.23000000 0.001371067229 Long ABS-MBS CORP US N 2 2049-08-15 Fixed 0.03000000 N N N N N N MPH ACQUISITION HLDGS LLC 5493002WXOPRPTXWTU06 55328HAE1 2323606.15000000 PA USD 2209354.44000000 0.007654333110 Long LON CORP US N 2 2023-06-07 Variable 0.04694630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180STA2 21475.55850000 PA USD 22435.49000000 0.000077728005 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03000000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BK5 18782000.00000000 PA USD 21108527.47000000 0.073130728958 Long DBT CORP US N 2 2028-01-15 Fixed 0.04750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31298VSX6 886.79950000 PA USD 1037.48000000 0.000003594361 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410LKM3 65047.96340000 PA USD 70663.44000000 0.000244814276 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223SCQ4 24.23230000 PA USD 24.59000000 0.000000085192 Long ABS-MBS USGA US N 2 2022-02-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AFW22 111949.85940000 PA USD 124688.89000000 0.000431986050 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204UKC4 169.97030000 PA USD 178.75000000 0.000000619281 Long ABS-MBS USGA US N 2 2024-01-15 Fixed 0.07000000 N N N N N N CORECIVIC INC 529900JFA3K6PTLT8B15 22025YAQ3 3180000.00000000 PA USD 3245190.00000000 0.011242996966 Long DBT CORP US N 2 2022-10-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207J5Z2 333.97390000 PA USD 374.07000000 0.000001295969 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N BUENOS AIRES CITY ARGENTINA 5299007MC8RF52X0ON96 11942GAC6 635120.00000000 PA USD 633532.20000000 0.002194879376 Long DBT CORP AR N 2 2021-02-19 Fixed 0.08950000 N N N N N N OPEN TEXT CORPORATION 549300UQROQS42RKHM85 683715AC0 3090000.00000000 PA USD 3075168.00000000 0.010653953850 Long DBT CORP CA N 2 2028-02-15 Fixed 0.03875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374MZH0 543.78250000 PA USD 603.18000000 0.000002089723 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378XDX1 425.95470000 PA USD 457.93000000 0.000001586503 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N CITIGROUP COML MTG TR 2012-GC8 N/A 17328RAG4 683000.00000000 PA USD 598241.54000000 0.002072614490 Long ABS-MBS CORP US N 2 2053-01-15 Fixed 0.02600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374PK22 534.12710000 PA USD 597.12000000 0.000002068728 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBJ66 7995687.77000000 PA USD 8735351.26000000 0.030263721913 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405NCX1 32176.21790000 PA USD 36639.81000000 0.000126939030 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373YB40 535.99920000 PA USD 593.76000000 0.000002057088 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N OUTFRONT MEDIA CAPITAL LLC 5493005WC7J0FDMW0610 12505MAF3 1250000.00000000 PA USD 1239062.50000000 0.004292745857 Long LON CORP US N 2 2026-11-28 Variable 0.03402750 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200RLL4 3157.92530000 PA USD 3669.25000000 0.000012712157 Long ABS-MBS USGA US N 2 2031-12-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASEA3 11308.48840000 PA USD 12575.34000000 0.000043567405 Long ABS-MBS USGA US N 2 2041-04-15 Fixed 0.05000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967GK1 3378000.00000000 PA USD 3564712.60000000 0.012349986579 Long DBT CORP US N 2 2022-07-30 Fixed 0.04050000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31359E3G4 95015.37940000 PA USD 101784.47000000 0.000352633432 Long ABS-CBDO USGSE US N 2 2023-11-25 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BKZ8 20031.71050000 PA USD 20824.30000000 0.000072146019 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.03000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 14000000.00000000 NC USD 33062.96000000 0.000114546993 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2029-04-20 0.00000000 USD 0.00000000 USD 14000000.00000000 USD 1.00000000 2.64500000 USD 2022-04-14 XXXX -341297.04000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204LEF4 125.03330000 PA USD 133.88000000 0.000000463828 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QWE7 15392.59200000 PA USD 16353.05000000 0.000056655324 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 0.03500000 N N N N N N BANK 2018-BNK12 N/A 06541KAJ7 866000.00000000 PA USD 807268.83000000 0.002796791869 Long ABS-MBS CORP US N 2 2061-05-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203UGV8 33.60160000 PA USD 35.86000000 0.000000124237 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 0.07500000 N N N N N N BARCLAYS COMMERCIAL MORTGAGE N/A 05492JAE2 548000.00000000 PA USD 386635.97000000 0.001339504632 Long ABS-MBS CORP US N 2 2052-11-15 Variable 0.02601393 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EEXW4 50452.61320000 PA USD 54705.62000000 0.000189528230 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N SITE CENTERS CORP W2AVA6SODOQ1LCYJQR54 23317HAE2 18338000.00000000 PA USD 20102458.34000000 0.069645191231 Long DBT CORP US N 2 2026-02-01 Fixed 0.04250000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCJB3 32450.08400000 PA USD 6363.41000000 0.000022046104 Long ABS-CBDO USGSE US N 2 2034-04-25 Variable 0.05500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 N/A 454000.00000000 PA 517231.48000000 0.001791954233 Long DBT CORP MX N 2 2022-11-24 Fixed 0.02500000 N N N N N N ISTAR INC QFFLKWYYS3UPWD86E794 45031UCG4 860000.00000000 PA USD 853550.00000000 0.002957133499 Long DBT CORP US N 2 2025-08-01 Fixed 0.04250000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2014-C18 N/A 61763XBP0 698000.00000000 PA USD 729517.21000000 0.002527420514 Long ABS-MBS CORP US N 2 2031-08-15 Fixed 0.04689594 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205VMG0 30.01530000 PA USD 33.35000000 0.000000115541 Long ABS-MBS USGA US N 2 2025-06-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383TEA2 2683.82370000 PA USD 3096.19000000 0.000010726784 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206PGB0 205.82310000 PA USD 233.60000000 0.000000809309 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209M4L5 991.06910000 PA USD 1132.64000000 0.000003924043 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N ALLY FINL INC 549300JBN1OSM8YNAI90 02005NBF6 15011000.00000000 PA USD 16942165.15000000 0.058696320210 Long DBT CORP US N 2 2025-11-20 Fixed 0.05750000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 N/A 1270000.00000000 PA 1488658.31000000 0.005157473326 Long EP CORP DK N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378MK66 153.73770000 PA USD 174.35000000 0.000000604037 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N CWMBS REPERFORMING LN REMIC TR N/A 12669UBR0 3634.18860000 PA USD 772.49000000 0.000002676300 Long ABS-CBDO CORP US N 3 2043-02-25 Variable 0.03361400 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335GLB9 165.09820000 PA USD 182.33000000 0.000000631684 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206LCX5 2441.41520000 PA USD 2680.45000000 0.000009286448 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBF9 14275000.00000000 PA USD 18123730.14000000 0.062789865303 Long DBT CORP US N 2 2049-02-14 Fixed 0.05950000 N N N N N N AIB GROUP PLC 635400AKJBGNS5WNQL34 N/A 1650000.00000000 PA 1877948.11000000 0.006506172182 Long EP CORP IE N 2 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209SXD8 601.99400000 PA USD 695.80000000 0.000002410606 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CGF5 5726109.52600000 PA USD 5975002.32000000 0.020700462209 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J96A1 28425.05760000 PA USD 30829.25000000 0.000106808280 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213JQU2 610.46710000 PA USD 706.88000000 0.000002448993 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07000000 N N N N N N STARWOOD WAYPOINT HOMES 2017-1 TR N/A 85572MAF7 963000.00000000 PA USD 963688.83000000 0.003338710704 Long ABS-CBDO CORP US N 2 2035-01-17 Variable 0.05058500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FBN1 522.84110000 PA USD 573.68000000 0.000001987520 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128K8MU7 33728.77060000 PA USD 37890.01000000 0.000131270362 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.05000000 N N N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2018-LAQ N/A 46649VAN1 57713.54000000 PA USD 57713.37000000 0.000199948614 Long ABS-MBS CORP US N 2 2035-06-15 Variable 0.04658500 N N N N N N METLIFE SECURITIZATION TRUST 2019-1 N/A 59166EAB1 9267446.31000000 PA USD 9770831.75000000 0.033851155625 Long ABS-CBDO CORP US N 2 2058-04-25 Fixed 0.03750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M6EF1 141152.20200000 PA USD 159850.14000000 0.000553802593 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YKDQ3 956669.07430000 PA USD 1032911.10000000 0.003578532031 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.04000000 N N N N N N CSAIL 2017-CX10 COML MTG TR N/A 12652DAJ6 1055000.00000000 PA USD 1083842.54000000 0.003754984573 Long ABS-MBS CORP US N 2 2032-10-15 Variable 0.04236600 N N N N N N WYNN LAS VEGAS LLC/ WYNN LAS V N/A 983130AX3 3013000.00000000 PA USD 2900012.50000000 0.010047125665 Long DBT CORP US N 2 2027-05-15 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378PTA1 858.81380000 PA USD 984.96000000 0.000003412404 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J5Z28 115048.65300000 PA USD 124073.68000000 0.000429854648 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 0.04000000 N N N N N N UNITED KINGDOM,G.B. and N.IRELAND ECTRVYYCEF89VWYS6K36 N/A 2185000.00000000 PA 3378062.56000000 0.011703335433 Long DBT NUSS GB N 2 2049-01-22 Fixed 0.01750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204CQ53 557.63590000 PA USD 598.02000000 0.000002071846 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 0.07500000 N N N N N N FIRST QUANTUM MINERALS LTD 549300I7UVBGWRYMYZ18 335934AP0 2201000.00000000 PA USD 2066364.83000000 0.007158944011 Long DBT CORP CA N 2 2024-03-01 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9VU3 263969.61750000 PA USD 277798.59000000 0.000962436314 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402LK27 11824.22930000 PA USD 12936.50000000 0.000044818648 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31287XG59 11204.94950000 PA USD 13026.74000000 0.000045131286 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385JK23 650.07070000 PA USD 759.74000000 0.000002632127 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 28500000.00000000 NC USD 702459.17000000 0.002433677632 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2030-02-28 0.00000000 USD 0.00000000 USD 28500000.00000000 USD 1.00000000 1.40250000 USD 2025-02-26 XXXX -101240.83000000 N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCL4 43373000.00000000 PA USD 40150386.10000000 0.139101460660 Long DBT CORP MX N 2 2048-02-12 Fixed 0.06350000 N N N N N N DBUBS 2011-LC1 MTG TR N/A 233050AK9 2129000.00000000 PA USD 2172076.91000000 0.007525184691 Long ABS-MBS CORP US N 2 2046-11-10 Variable 0.05688212 N N N N N N DENBURY RESOURCES INC 549300KCWA5W52MS5559 247916AM1 5405000.00000000 PA USD 3029502.50000000 0.010495745215 Long DBT CORP US N 2 2024-02-15 Fixed 0.07750000 N N N N N N CANADIAN NATL RESOURCES LTD 549300T15RIMIKZC5Q38 136385AG6 6942000.00000000 PA USD 8938438.81000000 0.030967320996 Long DBT CORP CA N 2 2035-02-01 Fixed 0.05850000 N N N N N N ALTICE FINCO SA 549300IGQP5SEZB5Z419 02154EAD1 5099000.00000000 PA USD 5309333.75000000 0.018394246020 Long DBT CORP LU N 2 2025-02-15 Fixed 0.07625000 N N N N N N TERRAFORM POWER OPERATING LLC 5493000S2OLR3UT5BE13 88104LAC7 1293000.00000000 PA USD 1314037.11000000 0.004552496230 Long DBT CORP US N 2 2023-01-31 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176RDC3 39854.72910000 PA USD 43439.58000000 0.000150496909 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL 213800Y3B5GQFBGVHP79 N/A 5400000.00000000 PA 6180214.10000000 0.021411420711 Long DBT CORP LU N 2 2029-03-12 Fixed 0.01750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200QPM0 1636.82260000 PA USD 1893.07000000 0.000006558562 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BJ49 15085.71670000 PA USD 16717.50000000 0.000057917965 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GNL0 1167964.14460000 PA USD 1270465.15000000 0.004401540688 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04000000 N N N N N N GLOBO COMUNICACOES E PARTICIPA COES SA 52990054HEKS017PVR75 37957TAK7 694000.00000000 PA USD 718290.00000000 0.002488523720 Long DBT CORP BR N 2 2025-06-08 Fixed 0.04843000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CTD6 462939.56700000 PA USD 480822.55000000 0.001665815089 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378G2A0 39.72070000 PA USD 45.05000000 0.000000156076 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213CPZ7 239.69060000 PA USD 278.03000000 0.000000963238 Long ABS-MBS USGA US N 2 2031-04-15 Fixed 0.07000000 N N N N N N RUSSIA FEDN MINISTRY FINANCE 5493004EHVGF71PDBU58 N/A 7200000.00000000 PA USD 8665200.00000000 0.030020682090 Long DBT NUSS RU N 2 2035-03-28 Fixed 0.05100000 N N N N N N AES CORP 2NUNNB7D43COUIRE5295 00130HBY0 4638000.00000000 PA USD 4817954.40000000 0.016691856779 Long DBT CORP US N 2 2027-09-01 Fixed 0.05125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4DR8 55985.66000000 PA USD 60706.53000000 0.000210318450 Long ABS-MBS USGA US N 2 2041-06-15 Fixed 0.04000000 N N N N N N CUMULUS MEDIA NEW HLDGS INC 5493001D9VBAVY1OKJ46 23108LAB2 623437.50000000 PA USD 609410.16000000 0.002111308299 Long LON CORP US N 2 2026-03-31 Variable 0.05353380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295AJT3 4934.37330000 PA USD 5514.91000000 0.000019106467 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N LBC Tank Terminals Holding Netherlands BV 213800O43KFINF83HN59 50177WAA9 3899000.00000000 PA USD 3938067.98000000 0.013643480459 Long DBT CORP NL N 2 2023-05-15 Fixed 0.06875000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PCW6 788000.00000000 PA USD 876403.75000000 0.003036310571 Long DBT NUSS DO N 2 2045-01-27 Fixed 0.06850000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312940RF8 17236.72090000 PA USD 19093.87000000 0.000066150925 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403DPT0 6.83060000 PA USD 6.85000000 0.000000023731 Long ABS-MBS USGSE US N 2 2021-01-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402XZC3 93404.19780000 PA USD 102408.24000000 0.000354794490 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203MHA1 425.32690000 PA USD 456.13000000 0.000001580267 Long ABS-MBS USGA US N 2 2023-06-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223XUD2 29.97900000 PA USD 31.48000000 0.000000109062 Long ABS-MBS USGA US N 2 2022-05-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CS54 121275.84600000 PA USD 129083.92000000 0.000447212681 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04000000 N N N N N N CREDIT SUISSE AG ANGGYXNX0JLX3X63JN86 N/A 10235000.00000000 PA USD 11442279.66000000 0.039641905560 Long DBT CORP CH N 2 2023-08-08 Fixed 0.06500000 N N N N N N STARWOOD PPTY TR INC BUGSFQZERKRBFWIG5267 85571BAL9 1226000.00000000 PA USD 1250520.00000000 0.004332440493 Long DBT CORP US N 2 2025-03-15 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JAUL0 10279554.15000000 PA USD 10676645.10000000 0.036989356084 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205DKQ0 1695.16300000 PA USD 1941.02000000 0.000006724685 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.08000000 N N N N N N WILLIAMS PARTNERS L P NEW WUURD1P1N0874ONXXO03 96949LAB1 1911000.00000000 PA USD 2068781.49000000 0.007167316556 Long DBT CORP US N 2 2025-09-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213FZD8 1607.47660000 PA USD 1856.88000000 0.000006433181 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GRHH7 9950248.88000000 PA USD 10844701.63000000 0.037571589807 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4XH4 22999064.32300000 PA USD 24304629.21000000 0.084203659100 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M83H5 318903.06360000 PA USD 347769.37000000 0.001204850862 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31395N6X0 160708.39190000 PA USD 150030.56000000 0.000519782549 Long ABS-CBDO USGSE US N 2 2036-04-25 Fixed 0.00000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J62G8 290847.34660000 PA USD 306084.40000000 0.001060432819 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AVT51 65129.70790000 PA USD 71801.43000000 0.000248756855 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FDC9 244494.49120000 PA USD 268648.37000000 0.000930735275 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.04500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 313921MN5 11995.16730000 PA USD 13979.71000000 0.000048432861 Long ABS-CBDO USGSE US N 2 2031-10-25 Fixed 0.06500000 N N N N N N LCCM 2014-909 MORTGAGE TRUST 549300LIDRVT45XGLR93 50185VAN3 1339000.00000000 PA USD 1352578.80000000 0.004686024345 Long ABS-MBS CORP US N 2 2031-05-15 Variable 0.03897890 N N N N N N AVOLON HLDGS FDG LTD 635400ZRKEX9L1BKCH30 05401AAH4 37550000.00000000 PA USD 37511674.97000000 0.129959616506 Long DBT CORP KY N 2 2025-02-15 Fixed 0.02875000 N N N N N N CHARTER NEX US INC 549300KRNU8RNVGYXG75 16125TAD4 766150.00000000 PA USD 756573.13000000 0.002621156051 Long LON CORP US N 2 2024-05-16 Variable 0.05103380 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DC6 14762000.00000000 PA USD 16677550.33000000 0.057779559214 Long DBT CORP US N 2 2026-03-15 Fixed 0.05550000 N N N N N N MORGAN STANLEY CAPITAL I TRUST 2019-AGLN N/A 61691TAQ5 1890000.00000000 PA USD 1887715.94000000 0.006540012938 Long ABS-MBS CORP US N 2 2034-03-15 Variable 0.04258500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307TN31 98438.28150000 PA USD 103760.76000000 0.000359480310 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411XZ65 17460.60440000 PA USD 20659.32000000 0.000071574444 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 0.06000000 N N N N N N WELLS FARGO COML MTG TR 2016-LC25 N/A 95000JBB3 575000.00000000 PA USD 624611.52000000 0.002163973580 Long ABS-MBS CORP US N 2 2059-12-15 Variable 0.04418257 N N N N N N LINEAGE LOGISTICS LLC 5493003V5XTRX1K1PV14 53566NAD6 12968416.28700000 PA USD 12749639.10000000 0.044171266928 Long LON CORP US N 2 2025-02-27 Variable 0.04645250 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136ANY68 3285439.60360000 PA USD 679364.52000000 0.002353665960 Long ABS-CBDO USGSE US N 2 2045-06-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374J2Q3 219.75550000 PA USD 243.14000000 0.000000842361 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 0.07500000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAB1 4855000.00000000 PA USD 5012787.50000000 0.017366858228 Long DBT CORP US N 2 2029-12-01 Fixed 0.04625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QNLE7 213935.01500000 PA USD 229224.39000000 0.000794150456 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291E7J4 2131.64540000 PA USD 2401.90000000 0.000008321409 Long ABS-MBS USGA US N 2 2034-03-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208KNR6 1730.89450000 PA USD 1962.46000000 0.000006798964 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207MTV8 453.44230000 PA USD 507.39000000 0.000001757858 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209R5A7 2154.18390000 PA USD 2489.92000000 0.000008626355 Long ABS-MBS USGA US N 2 2030-11-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417TRR1 805541.62220000 PA USD 892687.77000000 0.003092726740 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KYU6 22957.91460000 PA USD 25442.70000000 0.000088146518 Long ABS-MBS USGA US N 2 2035-11-15 Fixed 0.05000000 N N N N N N JP MORGAN CHASE COML MTG SECS TR 2012-CIBX N/A 46637WAS2 1124000.00000000 PA USD 894228.44000000 0.003098064408 Long ABS-MBS CORP US N 2 2045-06-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211LE57 363.86310000 PA USD 425.36000000 0.000001473664 Long ABS-MBS USGA US N 2 2029-10-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176LEJ0 19567.51530000 PA USD 21327.57000000 0.000073889604 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A94B7 109052.27750000 PA USD 118517.69000000 0.000410605859 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ER2J8 13933336.17290000 PA USD 14830659.74000000 0.051380986156 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBS82 30382105.03000000 PA USD 31864107.65000000 0.110393556508 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P8DR9 108781.58100000 PA USD 113561.22000000 0.000393434113 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FYV8 62152.18490000 PA USD 69406.22000000 0.000240458623 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208F2P4 636.96410000 PA USD 721.42000000 0.000002499367 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP N/A 226373AP3 3855000.00000000 PA USD 3768262.50000000 0.013055187479 Long DBT CORP US N 2 2025-04-01 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402N4E5 3624.75720000 PA USD 3970.27000000 0.000013755044 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QAXN5 1161721.15800000 PA USD 1302086.12000000 0.004511091892 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 0.05500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396WYZ3 38816.53510000 PA USD 72365.33000000 0.000250710493 Long ABS-CBDO USGSE US N 2 2037-07-25 Variable 0.29839500 N N N N N N CLEARWAY ENERGY OPERATING LLC 549300Z3NFMM54NWBB87 18539UAC9 1030000.00000000 PA USD 1048025.00000000 0.003630894306 Long DBT CORP US N 2 2028-03-15 Fixed 0.04750000 N N N N N N GATEWAY CASINOS and ENTMT LTD 549300AK9XBIDV7T6V58 N/A 1832445.60000000 PA USD 1786634.46000000 0.006189815022 Long LON CORP CA N 2 2025-03-13 Variable 0.04944630 N N N N N N SOPHIA LP 549300RP8NIJ7FY7OS79 83578BAJ2 4365059.82000000 PA USD 4331230.61000000 0.015005596778 Long LON CORP US N 2 2022-09-30 Variable 0.05194630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296QY29 47624.70700000 PA USD 52622.32000000 0.000182310614 Long ABS-MBS USGA US N 2 2039-05-15 Fixed 0.04500000 N N N N N N LCPR LOAN FINANCING LLC N/A 50183CAB3 2635000.00000000 PA USD 2643774.55000000 0.009159386428 Long LON CORP US N 2 2026-10-22 Variable 0.06658500 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A -36000000.00000000 NC USD -1432272.24000000 -0.00496212315 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Put Written JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2030-01-29 0.00000000 USD 0.00000000 USD -36000000.00000000 USD 1.00000000 1.68400000 USD 2025-01-27 XXXX -401232.24000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223RBQ7 102.82910000 PA USD 107.35000000 0.000000371915 Long ABS-MBS USGA US N 2 2022-03-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335ACA4 6933224.74620000 PA USD 7560802.92000000 0.026194486083 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416TMF3 8911.44970000 PA USD 9875.52000000 0.000034213849 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FKM7 2361404.11550000 PA USD 2546331.81000000 0.008821794968 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.04000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BKD3 1089696.47790000 PA USD 1090597.87000000 0.003778388490 Long ABS-CBDO USGA US N 2 2060-12-20 Variable 0.02234380 N N N N N N DISCOVER FINANCIAL SVS Z1YLO2USPORE63VVUL20 254709AG3 7992000.00000000 PA USD 8607500.76000000 0.029820782429 Long DBT CORP US N 2 2022-04-27 Fixed 0.05200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412P3M1 674520.37450000 PA USD 747492.21000000 0.002589695102 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04500000 N N N N N N FRONTIER COMMUNICATIONS CORP 549300ZCZ76HYCS0H445 35906ABC1 4460000.00000000 PA USD 4627250.00000000 0.016031159258 Long DBT CORP US N 2 2027-04-01 Fixed 0.08000000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A -36000000.00000000 NC USD -683656.92000000 -0.00236853702 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Call Written JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2030-01-29 0.00000000 USD 0.00000000 USD -36000000.00000000 USD 1.00000000 1.68400000 USD 2025-01-27 XXXX 347383.08000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378HD73 703.19200000 PA USD 801.36000000 0.000002776320 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208SRN4 2105.25570000 PA USD 2392.40000000 0.000008288496 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419K7J8 126389.29500000 PA USD 137418.75000000 0.000476088792 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208JPE6 1312.74450000 PA USD 1499.03000000 0.000005193406 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P74W0 685837.43410000 PA USD 724761.66000000 0.002510944858 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.03500000 N N N N N N ALTERRA MOUNTAIN COMPANY 549300C5O4FSVNUEI843 46124CAB3 2132191.20000000 PA USD 2089547.38000000 0.007239260214 Long LON CORP US N 2 2024-07-31 Variable 0.04353380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BYA0 1225.79100000 PA USD 1417.69000000 0.000004911602 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291GYQ3 1392.20860000 PA USD 1565.46000000 0.000005423553 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208TMC1 1412.34500000 PA USD 1557.57000000 0.000005396218 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TJWJ8 27167.27620000 PA USD 30447.67000000 0.000105486292 Long ABS-CBDO USGSE US N 2 2029-03-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209AUJ7 838.90990000 PA USD 954.11000000 0.000003305524 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07500000 N N N N N N BAE SYSTEMS HOLDINGS INC MF62XBVMNYTYMC18DL76 05523UAK6 5811000.00000000 PA USD 6337009.05000000 0.021954638565 Long DBT CORP US N 2 2024-10-07 Fixed 0.03800000 N N N N N N WILLIAMS PARTNERS LP N/A 96950FAG9 1528000.00000000 PA USD 1543592.67000000 0.005347794029 Long DBT CORP US N 2 2020-11-15 Fixed 0.04125000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312972JQ6 78.60640000 PA USD 78.79000000 0.000000272968 Long ABS-MBS USGSE US N 2 2020-05-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223SHP1 50.68160000 PA USD 52.40000000 0.000000181540 Long ABS-MBS USGA US N 2 2022-01-15 Fixed 0.08000000 N N N N N N LIGHTSTONE HOLDCO LLC N/A 53226GAG6 2910188.21000000 PA USD 2566436.78000000 0.008891448861 Long LON CORP US N 2 2024-01-30 Variable 0.05353380 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BJ5 5845000.00000000 PA USD 5837986.00000000 0.020225767640 Long DBT CORP US N 2 2027-11-15 Fixed 0.05500000 N N N N N N DG INVESTMENT INTERMEDIATE HOLDINGS 2 INC N/A 38268PAF8 277000.00000000 PA USD 263150.00000000 0.000911686111 Long LON CORP US N 3 2026-02-01 Variable 0.08353380 N N N N N N SMG US MIDCO 2 INC N/A 78453JAD8 625000.00000000 PA USD 618750.00000000 0.002143666279 Long LON CORP US N 2 2025-01-23 Variable 0.04128880 N N N N N N ASURION LLC 549300KNQVXGIOXWK278 04649VAW0 3754355.89500000 PA USD 3713696.22000000 0.012866141993 Long LON CORP US N 2 2024-11-03 Variable 0.04603380 N N N N N N ACRISURE LLC 549300R0Z1Q47XRTGO22 00488PAL9 5092105.22000000 PA USD 5007219.83000000 0.017347568973 Long LON CORP US N 2 2027-01-30 Variable 0.05207250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379U3B5 286.78460000 PA USD 327.24000000 0.000001133726 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176KDN4 51629.75430000 PA USD 55983.32000000 0.000193954836 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204GCL4 1631.84090000 PA USD 1758.16000000 0.000006091164 Long ABS-MBS USGA US N 2 2023-12-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HFCD9 238577.21200000 PA USD 256845.14000000 0.000889842853 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212NTV9 1471.11590000 PA USD 1708.36000000 0.000005918632 Long ABS-MBS USGA US N 2 2031-06-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TSTH6 36973.10250000 PA USD 41347.53000000 0.000143248979 Long ABS-CBDO USGSE US N 2 2031-04-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H2B49 60063.14200000 PA USD 61844.86000000 0.000214262207 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJSY7 398229.99910000 PA USD 419092.67000000 0.001451951231 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03000000 N N N N N N HORIZON 2018 N/A 440405AE8 8884170.49000000 PA USD 9196351.36000000 0.031860861904 Long ABS-CBDO CORP US N 2 2038-12-15 Fixed 0.04458000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392CVK7 42203.38180000 PA USD 49307.56000000 0.000170826591 Long ABS-CBDO USGSE US N 2 2032-04-25 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378PWF6 125.84850000 PA USD 144.30000000 0.000000499928 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417F5B0 1296612.86140000 PA USD 1399160.29000000 0.004847406437 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292GL87 537.73120000 PA USD 586.98000000 0.000002033598 Long ABS-MBS USGSE US N 2 2024-07-01 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JPXP2 27566.83810000 PA USD 29872.60000000 0.000103493956 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.04000000 N N N N N N ARES XXXIV CLO LTD 549300VDFIIXSFET0S73 04015GAP4 8282000.00000000 PA USD 8282000.00000000 0.028693081414 Long ABS-CBDO CORP KY N 2 2033-04-17 Variable 0.01250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335CAW4 10383641.91000000 PA USD 11213620.94000000 0.038849714873 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 0.04500000 N N N N N N EGYPT, (ARAB) REP OF 529900GFIVH4086NMH82 038461AL3 8772000.00000000 PA USD 9780780.00000000 0.033885621448 Long DBT NUSS EG N 2 2027-01-31 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224YM55 93.10360000 PA USD 98.23000000 0.000000340318 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N BX TRUST 2019 N/A 056054AG4 19533164.05000000 PA USD 19607690.88000000 0.067931063845 Long ABS-MBS CORP US N 2 2036-10-15 Variable 0.03108500 N N N N N N BANK 2019-BNK20 N/A 06540BAL3 950000.00000000 PA USD 814860.79000000 0.002823094299 Long ABS-MBS CORP US N 2 2052-10-17 Fixed 0.02500000 N N N N N N NATIXIS COML MTG SECS TR 2018 N/A 63874FAN7 307000.00000000 PA USD 308510.96000000 0.001068839663 Long ABS-MBS CORP US N 2 2032-11-15 Variable 0.03790400 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9DU2 3075226.65500000 PA USD 3229577.51000000 0.011188907320 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N PARK AEROSPACE HOLDINGS LTD 635400CPI3EOIFF6OC33 70014LAB6 22337000.00000000 PA USD 24562487.36000000 0.085097011538 Long DBT CORP KY N 2 2024-02-15 Fixed 0.05500000 N N N N N N ELEMENT SOLUTIONS INC 549300FLGN6P5CU20J91 72766TAD1 1267224.00000000 PA USD 1243463.55000000 0.004307993344 Long LON CORP US N 2 2026-01-31 Variable 0.03603380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208VZM0 299.64890000 PA USD 325.52000000 0.000001127767 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N BANK 2019-BNK20 N/A 06540AAP6 399000.00000000 PA USD 338509.01000000 0.001172768242 Long ABS-MBS CORP US N 2 2062-09-15 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VCC6 1491682.44590000 PA USD 1656518.28000000 0.005739026065 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.05000000 N N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 N/A 3253000.00000000 PA 3716703.10000000 0.012876559362 Long EP CORP LU N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H4J96 233794.32000000 PA USD 240729.62000000 0.000834010454 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N MEXICO UNITED MEXICAN STATES 254900EGTWEU67VP6075 91086QAV0 5505000.00000000 PA USD 7414546.88000000 0.025687780400 Long DBT NUSS MX N 2 2040-01-11 Fixed 0.06050000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P75Z2 920301.77450000 PA USD 972245.26000000 0.003368354552 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.03500000 N N N N N N BX TR 2018-IND N/A 056059AS7 952000.00200000 PA USD 953814.80000000 0.003304502017 Long ABS-MBS CORP US N 2 2035-11-15 Variable 0.03708500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402JRW9 42970.92940000 PA USD 46944.93000000 0.000162641233 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N GENERAL MTRS FINL CO INC 5493008B6JBRUJ90QL97 37045XAS5 11521000.00000000 PA USD 12190139.68000000 0.042232874944 Long DBT CORP US N 2 2025-01-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARH79 72598.91620000 PA USD 80868.05000000 0.000280168261 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.05000000 N N N N N N CSN ISLANDS XI CORP 222100R8R68DM7VM3661 12642KAB0 345000.00000000 PA USD 311466.00000000 0.001079077432 Long DBT CORP KY N 2 2028-01-28 Fixed 0.06750000 N N N N N N COMMSCOPE INC 549300Z6K4JXMFE8QY54 20337EAQ4 6019912.50000000 PA USD 5914564.03000000 0.020491073079 Long LON CORP US N 2 2026-04-04 Variable 0.04853380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J7LC4 236572.44100000 PA USD 248966.12000000 0.000862545900 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203CU67 180.91540000 PA USD 194.92000000 0.000000675302 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GSXA2 92564.15860000 PA USD 100711.42000000 0.000348915838 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36193VFQ0 225124.81980000 PA USD 241071.58000000 0.000835195178 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N VFH PARENT LLC 549300FRO9M476YHHY64 91820UAQ3 5691495.78000000 PA USD 5654159.57000000 0.019588898922 Long LON CORP US N 2 2026-03-01 Variable 0.05170880 N N N N N N NYT MORTGAGE TRUST 2019 N/A 62954PAQ3 1385000.00000000 PA USD 1390270.20000000 0.004816606621 Long ABS-MBS CORP US N 2 2035-11-15 Variable 0.04658500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223MB70 85.07700000 PA USD 89.82000000 0.000000311182 Long ABS-MBS USGA US N 2 2022-06-15 Fixed 0.08000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31339WJT4 10193.04370000 PA USD 10401.12000000 0.000036034796 Long ABS-CBDO USGSE US N 2 2032-03-15 Variable 0.02658500 N N N N N N SAUDI ARABIAN OIL COMPANY 5586006WD91QHB7J4X50 80414L2F1 3480000.00000000 PA USD 3925331.42000000 0.013599354505 Long DBT CORP SA N 2 2049-04-16 Fixed 0.04375000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HLBQ5 2784096.32070000 PA USD 2973498.11000000 0.010301717381 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AHY9 299.89080000 PA USD 330.59000000 0.000001145332 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208F7B0 957.49370000 PA USD 1084.45000000 0.000003757089 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N ASSET SECURITIZATION CORP N/A 045424FJ2 622.18040000 PA USD 0.69000000 0.000000002390 Long ABS-MBS CORP US N 2 2043-02-14 Variable 0.01823793 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RJE0 15148864.57900000 PA USD 16079916.83000000 0.055709051284 Long ABS-MBS USGA US N 2 2045-07-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210JGZ5 1359.59680000 PA USD 1505.92000000 0.000005217276 Long ABS-MBS USGA US N 2 2030-09-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HKA0 758.77860000 PA USD 853.66000000 0.000002957514 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213PTT8 2795.53360000 PA USD 3240.80000000 0.000011227787 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213UKT6 107.80520000 PA USD 123.11000000 0.000000426515 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203N6C7 268.75180000 PA USD 289.11000000 0.000001001624 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AC7F5 36584.89460000 PA USD 40378.29000000 0.000139891036 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375TWW4 198.97160000 PA USD 221.45000000 0.000000767215 Long ABS-MBS USGSE US N 2 2026-04-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406AZV7 1805.71700000 PA USD 1984.47000000 0.000006875218 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.04500000 N N N N N N ELECTRO RENT CORP 549300L5Z681EV5LDY95 28521VAF9 486058.27600000 PA USD 486262.42000000 0.001684661580 Long LON CORP US N 2 2024-01-31 Variable 0.06800880 N N N N N N GS MTG SECS TR 2016-GS4 N/A 36251XAY3 464000.00000000 PA USD 491079.32000000 0.001701349783 Long ABS-MBS CORP US N 2 2049-11-10 Variable 0.03799183 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MDU8 1420.64270000 PA USD 1669.33000000 0.000005783412 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N COMM 2014-LC17 MTG TR N/A 12592MBL3 50703240.12210000 PA USD 1431798.66000000 0.004960482434 Long ABS-MBS CORP US N 2 2047-10-10 Variable 0.00768071 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BFT0 1827.47810000 PA USD 2094.40000000 0.000007256072 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.08500000 N N N N N N SAMHALLSBYGGNADSBOLAGET I NORDEN AB 549300HX9MRFY47AH564 N/A 2030000.00000000 PA 2431505.06000000 0.008423976412 Long EP CORP SE N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378TQ40 32.73310000 PA USD 36.60000000 0.000000126801 Long ABS-MBS USGSE US N 2 2028-03-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390RBY8 5545.78760000 PA USD 6534.55000000 0.000022639021 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GAS5 25259.19010000 PA USD 26775.47000000 0.000092763914 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N JP MORGAN RESECURITIZATION TR SER 2012-2 N/A 46637JCC4 600468.74820000 PA USD 598603.75000000 0.002073869371 Long ABS-CBDO CORP US N 2 2036-06-21 Variable 0.01863758 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -23900000.00000000 NC USD -396087.77000000 -0.00137225049 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2030-01-27 0.00000000 USD 0.00000000 USD -23900000.00000000 USD 1.00000000 1.83000000 USD 2025-01-23 XXXX 271319.73000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207H3D7 198.23020000 PA USD 227.07000000 0.000000786686 Long ABS-MBS USGA US N 2 2029-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375RPQ9 1691.72090000 PA USD 1849.10000000 0.000006406227 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 0.07000000 N N N N N N CENOVUS ENERGY INC 549300DK79J32SE1QE52 15135UAM1 22916000.00000000 PA USD 24565079.82000000 0.085105993145 Long DBT CORP CA N 2 2027-04-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417LMT9 15975.53520000 PA USD 17449.40000000 0.000060453641 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EDT3 12173.14280000 PA USD 13467.25000000 0.000046657437 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KTR9 1574.87250000 PA USD 1800.15000000 0.000006236639 Long ABS-MBS USGA US N 2 2038-07-15 Fixed 0.05500000 N N N N N N BBA US HOLDINGS INC 213800CSNQ87U1MC8N11 05545MAA0 6329000.00000000 PA USD 6457826.80000000 0.022373213008 Long DBT CORP US N 2 2026-05-01 Fixed 0.05375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AETL4 30920.36710000 PA USD 34087.77000000 0.000118097459 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A4KM6 39874.57480000 PA USD 43335.57000000 0.000150136565 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46647PAX4 40200000.00000000 PA USD 46872209.47000000 0.162389292731 Long DBT CORP US N 2 2029-12-05 Variable 0.04452000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJZB7 718099.64050000 PA USD 770180.68000000 0.002668299559 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C7 N/A 61690KAK8 308000.00000000 PA USD 321512.18000000 0.001113882535 Long ABS-MBS CORP US N 2 2046-02-15 Variable 0.04122194 N N N N N N CHC COML MTG TR 2019-CHC N/A 162665AG8 5643000.00000000 PA USD 5634152.34000000 0.019519583650 Long ABS-MBS CORP US N 2 2034-06-15 Variable 0.03158500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PEAT5 594.88500000 PA USD 599.52000000 0.000002077043 Long ABS-MBS USGSE US N 2 2020-11-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A4PM1 3967.73350000 PA USD 4388.30000000 0.000015203314 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BL20 86235.31050000 PA USD 89647.36000000 0.000310584279 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.03000000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1 549300DNBJ7A0SEFVK31 95000GBE3 446000.00000000 PA USD 452511.20000000 0.001567730101 Long ABS-MBS CORP US N 2 2049-08-15 Fixed 0.03071000 N N N N N N AKBANK TURK ANONIM SIRKETI 789000TUMN63Z28TJ497 00972BAB5 1282000.00000000 PA USD 1232723.13000000 0.004270783039 Long DBT CORP TR N 2 2027-03-16 Variable 0.07200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379CJP7 667.23730000 PA USD 765.88000000 0.000002653399 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AYFE1 58744.12550000 PA USD 65545.32000000 0.000227082492 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176PQZ2 199450.29050000 PA USD 216268.52000000 0.000749264700 Long ABS-MBS USGA US N 2 2041-10-15 Fixed 0.04000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 912810SA7 10482100.00000000 PA USD 13599705.89000000 0.047116332807 Long DBT UST US N 2 2048-02-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417N7H8 27468.08170000 PA USD 30012.63000000 0.000103979091 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MHK6 2674.14980000 PA USD 3148.02000000 0.000010906350 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2012-C6 N/A 61761DAQ5 1469000.00000000 PA USD 1541255.85000000 0.005339698090 Long ABS-MBS CORP US N 2 2045-11-15 Variable 0.04607399 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J6CW5 1397481.98200000 PA USD 1451465.59000000 0.005028618732 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 0.03000000 N N N N N N WELLS FARGO COML MTG TR 2016-C35 549300MZIB10PDVAE312 95000FAC0 1739000.00000000 PA USD 1571503.69000000 0.005444492069 Long ABS-MBS CORP US N 2 2048-07-15 Fixed 0.03142000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378GXD0 530.49730000 PA USD 584.25000000 0.000002024140 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224R5W0 391.66920000 PA USD 416.00000000 0.000001441236 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FREC5 262690.51000000 PA USD 279608.09000000 0.000968705347 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7TY9 1853496.75290000 PA USD 1956953.01000000 0.006779885539 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03500000 N N N N N N TRAVERSE MIDSTREAM PARTNERS LLC 549300DHTM8B2X5QMJ22 89435TAB0 1695537.50000000 PA USD 1407296.13000000 0.004875593145 Long LON CORP US N 2 2024-09-27 Variable 0.05610000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GSBR2 135414.90300000 PA USD 146171.36000000 0.000506412307 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404MCS5 66869.26770000 PA USD 73531.29000000 0.000254749974 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QBRH3 9366487.09400000 PA USD 9985995.92000000 0.034596594293 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402MLR9 149871.30220000 PA USD 164130.37000000 0.000568631498 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N BANQUE CENTRALE DE TUNISIE 254900B5LFB16S9T2T11 066716AH4 865000.00000000 PA USD 809045.31000000 0.002802946504 Long DBT CORP TN N 2 2025-01-30 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F1VH2 299341.80300000 PA USD 318558.14000000 0.001103648230 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HP2L7 45779.40470000 PA USD 48535.37000000 0.000168151330 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3133TLBA5 22051.00270000 PA USD 24343.38000000 0.000084337911 Long ABS-CBDO USGSE US N 2 2029-06-15 Fixed 0.06000000 N N N N N N FAIR ISAAC CORPORATION RI6HET5SJUEY30V1PS26 303250AE4 5794000.00000000 PA USD 6416855.00000000 0.022231265749 Long DBT CORP US N 2 2026-05-15 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ADY33 10857.45800000 PA USD 12008.30000000 0.000041602889 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403Q5H9 594.74770000 PA USD 615.44000000 0.000002132198 Long ABS-MBS USGSE US N 2 2033-10-01 Variable 0.03553000 N N N N N N REYNOLDS GRP ISSUER INC/LLC/SA N/A 761735AR0 898000.00000000 PA USD 895081.50000000 0.003101019844 Long DBT CORP US N 2 2021-07-15 Variable 0.05331250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213YYC0 2150.42270000 PA USD 2513.29000000 0.000008707321 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12 N/A 95001RAX7 6748000.00000000 PA USD 7934156.69000000 0.027487974385 Long ABS-MBS CORP US N 2 2052-01-15 Fixed 0.04302000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176QUS1 3761.40900000 PA USD 4176.91000000 0.000014470951 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177PAF2 134169.59000000 PA USD 140418.38000000 0.000486481044 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417GFT8 137561.83980000 PA USD 148441.43000000 0.000514276990 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N BX TRUST N/A 05607QAU2 13619000.00000000 PA USD 13683281.68000000 0.047405882064 Long ABS-MBS CORP US N 2 2029-12-15 Variable 0.03258500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312933DC5 60198.79140000 PA USD 66741.28000000 0.000231225909 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408FG86 69278.67760000 PA USD 72723.73000000 0.000251952174 Long ABS-MBS USGSE US N 2 2034-07-01 Variable 0.04664000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208V6E0 1315.55330000 PA USD 1488.56000000 0.000005157132 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31377KJ89 176.56690000 PA USD 197.37000000 0.000000683790 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205NWJ1 1270.13470000 PA USD 1412.84000000 0.000004894799 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138X0PV4 153453.82460000 PA USD 164535.29000000 0.000570034348 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36193VFY3 160305.11890000 PA USD 171660.36000000 0.000594719232 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410KUV4 3814.18600000 PA USD 3828.28000000 0.000013263118 Long ABS-MBS USGSE US N 2 2021-10-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SW54 171238.51650000 PA USD 183368.23000000 0.000635281278 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230SJ96 217889.68320000 PA USD 231675.48000000 0.000802642285 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DNY3 697.81770000 PA USD 801.31000000 0.000002776147 Long ABS-MBS USGA US N 2 2031-07-20 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384DXC1 273.29380000 PA USD 321.51000000 0.000001113874 Long ABS-MBS USGSE US N 2 2029-11-01 Fixed 0.07500000 N N N N N N THOMSON REUTERS CORP 549300561UZND4C7B569 884903BT1 2221000.00000000 PA USD 2377366.40000000 0.008236412420 Long DBT CORP CA N 2 2024-09-29 Fixed 0.03850000 N N N N N N RETL 2019-RVP N/A 74952PAA5 8601092.80000000 PA USD 8603754.84000000 0.029807804647 Long ABS-MBS CORP US N 2 2036-03-15 Variable 0.02808500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207NGB4 522.93640000 PA USD 584.38000000 0.000002024591 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174824M3 16717000.00000000 PA USD 18089007.65000000 0.062669568849 Long DBT CORP US N 2 2022-11-01 Fixed 0.04875000 N N N N N N VIZIENT INC 5493007V6T3HZ7777P70 92856JAB6 375000.00000000 PA USD 400312.50000000 0.001386887123 Long DBT CORP US N 2 2027-05-15 Fixed 0.06250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389KSV4 176.79400000 PA USD 210.36000000 0.000000728794 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EUPU7 5041929.18730000 PA USD 5418537.60000000 0.018772583977 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.04000000 N N N N N N NEXSTAR BROADCASTING INC 5493006PK6I4I2OOT688 65336RAW8 4533637.50000000 PA USD 4488301.13000000 0.015549769347 Long LON CORP US N 2 2026-09-19 Variable 0.04405000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419C6V0 27368.15660000 PA USD 29752.18000000 0.000103076759 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211KVE1 17869.24870000 PA USD 20179.49000000 0.000069912068 Long ABS-MBS USGA US N 2 2030-10-15 Fixed 0.06000000 N N N N N N NV ENERGY INC 549300WSWTEW6DURBO45 67073YAA4 2230000.00000000 PA USD 2299841.70000000 0.007967827232 Long DBT CORP US N 2 2020-11-15 Fixed 0.06250000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395MRB7 1529059.20600000 PA USD 1731916.89000000 0.006000245390 Long ABS-CBDO USGSE US N 2 2035-02-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WUPU1 52068.71280000 PA USD 55047.89000000 0.000190714029 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N TANGER PPTYS LTD PARTNERSHIP PQPGJDNFN35EXH363L31 875484AG2 3066000.00000000 PA USD 3235252.86000000 0.011208569633 Long DBT CORP US N 2 2023-12-01 Fixed 0.03875000 N N N N N N WFRBS COML MTG TR 2011-C4 N/A 92936CAY5 335432.00000000 PA USD 336475.46000000 0.001165722985 Long ABS-MBS CORP US N 2 2044-06-15 Variable 0.05229695 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179N5V6 42572.75400000 PA USD 45242.50000000 0.000156743146 Long ABS-MBS USGA US N 2 2044-03-20 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297B4H2 1177.96540000 PA USD 1321.67000000 0.000004578940 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.05000000 N N N N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAE7 3798000.00000000 PA USD 4069466.95000000 0.014098713657 Long DBT CORP US N 2 2025-02-01 Fixed 0.03500000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636BAT6 6050000.00000000 PA USD 6780946.78000000 0.023492665784 Long DBT CORP DK N 2 2024-01-12 Fixed 0.05375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMTG7 390852.69730000 PA USD 423810.53000000 0.001468296310 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HQBW1 95838.08380000 PA USD 104033.92000000 0.000360426676 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N CHARTER COMM OPER LLC/CAP CORP N/A 161175BA1 9078000.00000000 PA USD 11675035.69000000 0.040448291423 Long DBT CORP US N 2 2045-10-23 Fixed 0.06484000 N N N N N N OMAN SULTANATE 549300SZ20F0QTKNQC75 682051AE7 250000.00000000 PA USD 249453.13000000 0.000864233152 Long DBT NUSS OM N 2 2027-03-08 Fixed 0.05375000 N N N N N N SABRA HEALTH CARE LP 549300OVKLRFSIQG0H81 14162VAB2 4710000.00000000 PA USD 5236123.49000000 0.018140608258 Long DBT CORP US N 2 2026-08-15 Fixed 0.05125000 N N N N N N NEW CENTURY HOME EQUITY LN TR N/A 64352VMV0 305436.75000000 PA USD 305462.71000000 0.001058278967 Long ABS-CBDO CORP US N 2 2035-09-25 Variable 0.02136750 N N N N N N FASTBALL MERGERSUB LLC N/A N/A 665000.00000000 PA USD 661262.70000000 0.002290952002 Long LON CORP US N 2 2027-01-22 Variable 0.00000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335AJQ2 8211450.20800000 PA USD 8865019.24000000 0.030712958077 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GM80 61290.33620000 PA USD 67020.66000000 0.000232193824 Long ABS-MBS USGA US N 2 2040-01-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A3UW2 64649.71170000 PA USD 72195.24000000 0.000250121214 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.05000000 N N N N N N EP ENERGY LLC / EVEREST ACQUISITION FIN INC N/A 268787AJ7 2976000.00000000 PA USD 1755840.00000000 0.006083127272 Long DBT CORP US N 2 2026-05-15 Fixed 0.07750000 Y Y N N N N USI INC N/A 90351NAE5 5507578.76000000 PA USD 5369889.29000000 0.018604041364 Long LON CORP US N 2 2024-05-16 Variable 0.04944630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209DSA3 1450.48670000 PA USD 1686.28000000 0.000005842135 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07000000 N N N N N N ODEBRECHT FINANCE LTD N/A 675758AF3 4337000.00000000 PA USD 206522.30000000 0.000715498812 Long EP CORP KY N 2 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180B2W0 34761.15740000 PA USD 36293.21000000 0.000125738231 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206NM77 1003.65680000 PA USD 1092.65000000 0.000003785498 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505EL4 1911000.00000000 PA USD 2109106.99000000 0.007307024701 Long EP CORP US N 2 N N N IMT TR 2017-APTS N/A 44974AAN7 549478.86000000 PA USD 549148.51000000 0.001902531140 Long ABS-MBS CORP US N 2 2034-06-15 Variable 0.03808500 N N N N N N EVO PAYMENTS INTERNATIONAL LLC 5493007OIYK4837ONE70 26926NAN5 1920140.33000000 PA USD 1905739.28000000 0.006602455000 Long LON CORP US N 2 2023-12-22 Variable 0.04900000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BT5 7307000.00000000 PA USD 8357972.53000000 0.028956289092 Long DBT CORP US N 2 2026-06-15 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ANNB5 102897.28980000 PA USD 114316.81000000 0.000396051863 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AXPH8 1683940.98230000 PA USD 1828260.11000000 0.006334027551 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP N/A 432891AK5 975000.00000000 PA USD 996937.50000000 0.003453901093 Long DBT CORP US N 2 2027-04-01 Fixed 0.04875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PBKK9 2142.37160000 PA USD 2159.07000000 0.000007480122 Long ABS-MBS USGSE US N 2 2020-11-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207YB66 671.09050000 PA USD 766.32000000 0.000002654924 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AC3F9 22506.89860000 PA USD 25154.87000000 0.000087149327 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413CRM3 14096.82700000 PA USD 15617.46000000 0.000054106864 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.04500000 N N N N N N DIGICEL LTD N/A 25380QAH2 806000.00000000 PA USD 514328.75000000 0.001781897693 Long DBT CORP BM N 2 2023-03-01 Fixed 0.06750000 N N N N N N CITGO PETROLEUM CORP YX52P86PXMLYDOTUQ225 17302XAJ5 7765000.00000000 PA USD 7765000.00000000 0.026901929145 Long DBT CORP US N 2 2022-08-15 Fixed 0.06250000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TJA60 59697.00860000 PA USD 66203.15000000 0.000229361551 Long ABS-CBDO USGSE US N 2 2029-02-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210AX93 1163.62760000 PA USD 1318.95000000 0.000004569516 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 0.07000000 N N N N N N ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP N/A 451102BT3 3650000.00000000 PA USD 3741651.50000000 0.012962993372 Long DBT CORP US N 2 2026-05-15 Fixed 0.06250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CU93 1191204.25300000 PA USD 1279125.01000000 0.004431542870 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04500000 N N N N N N SYNCHRONY BANK 549300UATVPGSLE43Z27 87166FAC7 14890000.00000000 PA USD 15256751.12000000 0.052857184497 Long DBT CORP US N 2 2021-05-24 Fixed 0.03650000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137BJGM9 2053764.06000000 PA USD 2158331.66000000 0.007477564119 Long ABS-CBDO USGSE US N 2 2040-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8DE0 6516618.23000000 PA USD 7027816.30000000 0.024347947991 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N LMBE-MC HOLDCO II LLC N/A 50203PAB0 1146200.88000000 PA USD 1144768.13000000 0.003966061960 Long LON CORP US N 3 2025-12-03 Variable 0.05950000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QP6Q2 186262.89110000 PA USD 199574.62000000 0.000691428497 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224YYS2 122.60370000 PA USD 130.65000000 0.000000452638 Long ABS-MBS USGA US N 2 2023-03-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X4PY6 42762090.94100000 PA USD 46172188.09000000 0.159964060849 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404YHA3 29131.52160000 PA USD 31812.73000000 0.000110215558 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 0.04500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377NRP1 1621908.39290000 PA USD 1817485.24000000 0.006296697894 Long ABS-CBDO USGA US N 2 2040-12-20 Fixed 0.04000000 N N N N N N MCAFEE LLC 549300713UKUTLV9T378 57906PAF6 888386.36000000 PA USD 887275.88000000 0.003073977186 Long LON CORP US N 2 2025-09-29 Variable 0.10103380 N N N N N N NIELSEN FINANCE LLC/ NIELSEN FINANCE CO N/A 65409QBB7 5574000.00000000 PA USD 5546130.00000000 0.019214629271 Long DBT CORP US N 2 2022-04-15 Fixed 0.05000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BML3 1290720.30170000 PA USD 1292652.38000000 0.004478408594 Long ABS-CBDO USGA US N 2 2061-06-20 Variable 0.02264380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PD7E4 1541.88590000 PA USD 1556.08000000 0.000005391056 Long ABS-MBS USGSE US N 2 2020-11-01 Fixed 0.05500000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2011-C4 N/A 46636DAY2 1398000.00000000 PA USD 1446408.69000000 0.005011099046 Long ABS-MBS CORP US N 2 2046-07-15 Variable 0.05540489 N N N N N N VENEZUELA, REPUBLIC OF 529900XM8PJTJK5OJI77 N/A 1641700.00000000 PA USD 254463.50000000 0.000881591635 Long DBT NUSS VE N 2 2031-08-05 Fixed 0.11950000 Y Y N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401N2T5 31032.22590000 PA USD 33889.49000000 0.000117410516 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ETM3 29833.02440000 PA USD 31623.87000000 0.000109561250 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207D5J1 718.90210000 PA USD 790.16000000 0.000002737518 Long ABS-MBS USGA US N 2 2026-03-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204HDY3 364.14770000 PA USD 394.12000000 0.000001365433 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 0.07500000 N N N N N N KINDER MORGAN ENERGY PARTNERS LP 549300PDHUGWPWGOT525 494550BM7 6689000.00000000 PA USD 6984742.23000000 0.024198717394 Long DBT CORP US N 2 2023-02-15 Fixed 0.03450000 N N N N N N PCI GAMING AUTHORITY 549300KPXAJ1LRW5LP59 N/A 1466709.61000000 PA USD 1453875.90000000 0.005036969278 Long LON CORP US N 2 2026-05-29 Variable 0.04103380 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137LAD7 5787000.00000000 PA USD 7420849.96000000 0.025709617491 Long DBT CORP US N 2 2039-01-25 Fixed 0.05476000 N N N N N N RUMO LUXEMBOURG SARL 222100HOIQFT7YOSPB46 781467AA3 4093000.00000000 PA USD 4328987.24000000 0.014997824597 Long DBT CORP LU N 2 2024-02-09 Fixed 0.07375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209RFJ7 937.44060000 PA USD 1091.70000000 0.000003782206 Long ABS-MBS USGA US N 2 2030-01-15 Fixed 0.07500000 N N N N N N EXC HOLDINGS III CORP N/A 26929CAC0 1226397.73000000 PA USD 1195737.79000000 0.004142646916 Long LON CORP US N 2 2024-12-02 Variable 0.05444630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208QVL7 281.96290000 PA USD 307.85000000 0.000001066549 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N EQUITRANS MIDSTREAM CORP 549300RH0NLJNZ5SXU64 29460FAD0 2459601.38000000 PA USD 2441154.37000000 0.008457406554 Long LON CORP US N 2 2024-01-31 Variable 0.06110000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207BS68 176.44830000 PA USD 194.81000000 0.000000674921 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407G6Q6 5556.86540000 PA USD 6598.99000000 0.000022862274 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384LWH3 474.23750000 PA USD 537.19000000 0.000001861100 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.07000000 N N N N N N FRONERI US INC N/A N/A 2965000.00000000 PA USD 2913112.50000000 0.010092510762 Long LON CORP US N 2 2027-01-30 Variable 0.03853380 N N N N N N VS BUYER LLC N/A N/A 2365000.00000000 PA USD 2335437.50000000 0.008091149278 Long LON CORP US N 2 2027-02-19 Variable 0.00000000 N N N N N N QATAR ST 52990074F6OJOAXK4P65 74727PAE1 917000.00000000 PA USD 1520787.19000000 0.005268784189 Long DBT NUSS QA N 2 2030-06-15 Fixed 0.09750000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAL7 3594000.00000000 PA USD 3806253.23000000 0.013186806787 Long DBT CORP US N 2 2023-03-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TG94 2946.68690000 PA USD 3357.38000000 0.000011631680 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213UQU7 260.14610000 PA USD 295.88000000 0.000001025079 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208NXL2 264.75490000 PA USD 298.50000000 0.000001034156 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N GIP III STETSON I LP 549300MLKSDQYN3TMQ54 36173DAB2 5322295.48000000 PA USD 4803371.67000000 0.016641334749 Long LON CORP US N 2 2025-07-18 Variable 0.05889380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A8RD0 25135.24500000 PA USD 27316.91000000 0.000094639739 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NVM7 18736.69440000 PA USD 19672.93000000 0.000068157085 Long ABS-MBS USGA US N 2 2043-12-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MHK69 48618.32190000 PA USD 51384.89000000 0.000178023524 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MPDW2 569179.35330000 PA USD 589086.40000000 0.002040896406 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.02500000 N N N N N N GRANITE GENERATION LLC 549300XXYYGFHXPYVM94 38750BAB3 2000000.00000000 PA USD 1967500.00000000 0.006816425704 Long LON CORP US N 2 2026-11-01 Variable 0.05404570 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KAG6 329.78460000 PA USD 384.99000000 0.000001333802 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406MA71 55168.03660000 PA USD 57230.59000000 0.000198276017 Long ABS-MBS USGSE US N 2 2035-01-01 Variable 0.03396000 N N N N N N BELARUS REPUBLIC OF 635400CVCOWYLHF4ZB08 07737JAB9 2961000.00000000 PA USD 3175672.50000000 0.011002152811 Long DBT NUSS BY N 2 2023-02-28 Fixed 0.06875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205U5C0 189.24080000 PA USD 209.44000000 0.000000725607 Long ABS-MBS USGA US N 2 2025-06-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208NNG4 246.67250000 PA USD 277.34000000 0.000000960847 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N WILLIAMS PARTNERS L P NEW WUURD1P1N0874ONXXO03 96949LAA3 6891000.00000000 PA USD 7111266.40000000 0.024637061793 Long DBT CORP US N 2 2022-03-15 Fixed 0.03600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402XY26 29478.46670000 PA USD 32219.54000000 0.000111624955 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GR7A3 62794.04960000 PA USD 68438.76000000 0.000237106847 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209MUU6 2744.03670000 PA USD 3166.06000000 0.000010968850 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07500000 N N N N N N DUKE REALTY LP NEW 2549009GZDBNY1KE9O81 26441YAY3 3445000.00000000 PA USD 3751015.32000000 0.012995434431 Long DBT CORP US N 2 2024-12-01 Fixed 0.03750000 N N N N N N OMEGA HEALTHCARE INVESTORS INC 549300OJ7ENK42CZ8E73 681936BJ8 26812000.00000000 PA USD 28951084.95000000 0.100301356859 Long DBT CORP US N 2 2023-08-01 Fixed 0.04375000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AJ8 23534000.00000000 PA USD 25276367.22000000 0.087570256279 Long DBT CORP IT N 2 2022-01-14 Fixed 0.06572000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31387CUC3 4848.03100000 PA USD 5706.14000000 0.000019768985 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 0.07500000 N N N N N N GS MTG SECS TR 2016-GS3 N/A 36251PAM6 1935000.00000000 PA USD 1770313.89000000 0.006133272225 Long ABS-MBS CORP US N 2 2049-10-10 Fixed 0.02620000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XXWB1 671461.04770000 PA USD 713355.18000000 0.002471426981 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31382DWE0 416.18570000 PA USD 482.17000000 0.000001670483 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07000000 N N N N N N ACPRODUCTS INC N/A N/A 1765000.00000000 PA USD 1773825.00000000 0.006145436505 Long LON CORP US N 2 2025-08-13 Variable 0.00000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178WGU7 1463243.59840000 PA USD 1554450.64000000 0.005385411587 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 0.03500000 N N N N N N BBVA BANCOMER S A INSTITUCION DE BANCA MULTIPLE GRUPO FINANCIERO BBVA BANCOMER 549300WIWQK5Q9MCUN92 05533AAA0 595000.00000000 PA USD 598718.75000000 0.002074267790 Long DBT CORP MX N 2 2020-04-22 Fixed 0.07250000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29279FAA7 4516000.00000000 PA USD 5204918.74000000 0.018032499053 Long DBT CORP US N 2 2049-04-15 Fixed 0.06250000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KA8 19254000.00000000 PA USD 21760456.84000000 0.075389345535 Long DBT CORP US N 2 2027-09-29 Fixed 0.04450000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208S4Q2 346.90760000 PA USD 374.90000000 0.000001298845 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J85G1 1004103.28210000 PA USD 1077432.84000000 0.003732778096 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N VENEZUELA, REPUBLIC OF 529900XM8PJTJK5OJI77 N/A 350400.00000000 PA USD 54312.00000000 0.000188164530 Long DBT NUSS VE N 2 2022-08-23 Fixed 0.12750000 Y Y N N N N METROPOLITAN LIFE GLBL FDG I 635400MMSOCXNNNZDZ82 59217GCY3 97491000.00000000 PA USD 97683910.32000000 0.338426997307 Long DBT CORP US N 2 2021-05-28 Variable 0.02080000 N N N N N N OCP SA N/A 67091TAB1 275000.00000000 PA USD 362226.56000000 0.001254937959 Long DBT CORP MA N 2 2044-04-25 Fixed 0.06875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203LBW1 33.49350000 PA USD 35.34000000 0.000000122435 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N PARSLEY ENERGY LLC / PARSLEY FINANCE CORP N/A 701885AD7 7010000.00000000 PA USD 7010140.20000000 0.024286708945 Long DBT CORP US N 2 2025-01-15 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383SCB4 587.32380000 PA USD 680.73000000 0.000002358396 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203CFL1 73.10970000 PA USD 76.31000000 0.000000264376 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 0.07500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BBV3 966047.98170000 PA USD 962590.01000000 0.003334903830 Long ABS-CBDO USGA US N 2 2060-05-20 Variable 0.01989500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206LZB8 159.26490000 PA USD 172.37000000 0.000000597177 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GESV3 56564.81850000 PA USD 62553.27000000 0.000216716501 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3129455M6 96828.73120000 PA USD 107140.40000000 0.000371189111 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374CQS8 2948798.83890000 PA USD 3302342.72000000 0.011441003202 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 0.05000000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30 N/A 61766NAJ4 495000.00000000 PA USD 443615.93000000 0.001536912339 Long ABS-MBS CORP US N 2 2049-09-15 Fixed 0.03000000 N N N N N N HESS INFRASTRUCTURE PARTNERS LP / HESS INFRASTRUCTURE PARTNERS FIN CORP N/A 428102AC1 8157000.00000000 PA USD 8136770.64000000 0.028189932676 Long DBT CORP US N 2 2026-02-15 Fixed 0.05625000 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 23311VAG2 5606000.00000000 PA USD 5872397.12000000 0.020344985349 Long DBT CORP US N 2 2025-07-15 Fixed 0.05375000 N N N N N N ESKOM HLDGS LTD 3789001900ED06F65111 29646AAA4 1250000.00000000 PA USD 1251562.50000000 0.004336052246 Long DBT CORP ZA N 2 2023-08-06 Fixed 0.06750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416WYH9 48610.01930000 PA USD 52044.38000000 0.000180308335 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208LSW8 84.08830000 PA USD 95.06000000 0.000000329336 Long ABS-MBS USGA US N 2 2028-11-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MFGY7 198811.73530000 PA USD 214535.50000000 0.000743260633 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0XL7 252868.79750000 PA USD 278772.02000000 0.000965808773 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402TVQ5 185339.01080000 PA USD 202503.85000000 0.000701576847 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N HOLOGIC INC 549300DYP6F5ZJL0LB74 436440AM3 443000.00000000 PA USD 459484.03000000 0.001591887549 Long DBT CORP US N 2 2028-02-01 Fixed 0.04625000 N N N N N N GS MTG SECS TR 2016-GS2 N/A 36252TAY1 771000.00000000 PA USD 861879.08000000 0.002985989689 Long ABS-MBS CORP US N 2 2049-05-10 Variable 0.04526814 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C04V7 211880.01580000 PA USD 233584.45000000 0.000809255933 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C7 N/A 61690KAL6 966000.00000000 PA USD 969556.81000000 0.003359040387 Long ABS-MBS CORP US N 2 2046-02-15 Variable 0.04238194 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FRKJ3 152800.35590000 PA USD 162640.88000000 0.000563471143 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 0.03500000 N N N N N N NSG HOLDINGS LLC/NSG HLD INC N/A 62940QAA3 4844441.22800000 PA USD 5377329.76000000 0.018629818956 Long DBT CORP US N 2 2025-12-15 Fixed 0.07750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416CAF3 15903.56280000 PA USD 16660.29000000 0.000057719760 Long ABS-MBS USGSE US N 2 2036-11-01 Variable 0.04184000 N N N N N N TELEFONICA EUROPE BV 7245007FZS0M65WUGP67 N/A 3100000.00000000 PA 3401656.76000000 0.011785077802 Long DBT CORP NL N 2 2199-12-31 Variable 0.02502000 N N N N N N ZAYO GROUP LLC/ZAYO CAP INC N/A 989194AL9 7170000.00000000 PA USD 7331325.00000000 0.025399457268 Long DBT CORP US N 2 2025-05-15 Fixed 0.06375000 N N N N N N UBS COML MTG TR 2017-C7 N/A 90276WAT4 53604597.97680000 PA USD 3438767.12000000 0.011913647058 Long ABS-MBS CORP US N 2 2050-12-15 Variable 0.01055812 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C3 N/A 17325GAL0 1507000.00000000 PA USD 1308766.66000000 0.004534236697 Long ABS-MBS CORP US N 2 2049-11-15 Fixed 0.03000000 N N N N N N KFC HOLDING CO 549300G2LG4YUB3MM115 72584DAE4 1849839.39000000 PA USD 1829602.15000000 0.006338677064 Long LON CORP US N 2 2025-04-03 Variable 0.03408500 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAU9 2583000.00000000 PA USD 2617741.35000000 0.009069194117 Long DBT CORP US N 2 2026-02-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293JKZ1 326.81340000 PA USD 370.27000000 0.000001282804 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.06000000 N N N N N N CSMC TR 2017-MOON N/A 12651XAL8 1363000.00000000 PA USD 1375935.82000000 0.004766945001 Long ABS-MBS CORP US N 2 2034-07-10 Variable 0.03196470 N N N N N N TURKIYE VAKIFLAR BANKASI TAO 789000KAIHOLSQKQ9858 90015WAG8 3747000.00000000 PA USD 3689624.06000000 0.012782743726 Long DBT CORP TR N 2 2023-01-30 Fixed 0.05750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212FWA8 1047.35810000 PA USD 1212.76000000 0.000004201620 Long ABS-MBS USGA US N 2 2030-12-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297APH1 2884.13940000 PA USD 3211.12000000 0.000011124961 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378P2C6 198.71260000 PA USD 228.75000000 0.000000792506 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204FVZ4 230.94980000 PA USD 249.21000000 0.000000863390 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TVC0 96.35230000 PA USD 106.37000000 0.000000368520 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 0.07000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 251525AP6 51329000.00000000 PA USD 51145467.00000000 0.177194041127 Long DBT CORP DE N 2 2025-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223YC99 186.64210000 PA USD 194.09000000 0.000000672426 Long ABS-MBS USGA US N 2 2022-03-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RVA4 29439.89280000 PA USD 30883.35000000 0.000106995710 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290RVZ3 44586.45200000 PA USD 49397.00000000 0.000171136457 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 0.05000000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A 00774MAK1 16603000.00000000 PA USD 18066948.44000000 0.062593144470 Long DBT CORP IE N 2 2024-01-16 Fixed 0.04875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YKG80 15302739.29740000 PA USD 16388678.30000000 0.056778758843 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178NAM1 234405.02630000 PA USD 244736.15000000 0.000847891122 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BU2 3357000.00000000 PA USD 3712001.41000000 0.012860270305 Long DBT CORP US N 2 2027-02-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224BHA0 36.55220000 PA USD 38.45000000 0.000000133210 Long ABS-MBS USGA US N 2 2022-06-15 Fixed 0.08000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A 7350000.00000000 NC -62483.72000000 -0.00021647554 N/A DCR CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 DAIMLER AG DAIMLER AG 1.4% 01/12/2024 REGS Y 2024-12-20 0.00000000 EUR 176102.16000000 EUR 7350000.00000000 EUR 112726.36000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201Q3Q4 1565.54010000 PA USD 1819.03000000 0.000006302049 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N FREMF 2011-K10 MTG TR N/A 30261YAL0 319000.00000000 PA USD 323659.95000000 0.001121323508 Long ABS-MBS USGSE US N 2 2049-11-25 Variable 0.04621919 N N N N N N COMM 2013 CCRE12 MTG TR 549300MGZ5FI5VFL1177 12624SAE9 1205000.00000000 PA USD 1099391.27000000 0.003808853322 Long ABS-MBS CORP US N 2 2046-10-10 Variable 0.05075519 N N N N N N STATION CASINOS LLC 5493004E7Q60TX54WL62 857691AF6 2733000.00000000 PA USD 2746665.00000000 0.009515851541 Long DBT CORP US N 2 2025-10-01 Fixed 0.05000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CW3 16582000.00000000 PA USD 16806133.92000000 0.058225038496 Long DBT CORP US N 2 2024-08-15 Fixed 0.02900000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TJR70 59725.57590000 PA USD 66741.44000000 0.000231226463 Long ABS-CBDO USGSE US N 2 2029-03-15 Fixed 0.06000000 N N N N N N VEDANTA RESOURCES PLC 2138007MYEKPEAZQTW83 92241TAG7 230000.00000000 PA USD 227987.50000000 0.000789865237 Long DBT CORP GB N 2 2021-06-07 Fixed 0.08250000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 91911KAK8 7310000.00000000 PA USD 7526229.80000000 0.026074707123 Long DBT CORP CA N 2 2024-03-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312933GN8 5541.40440000 PA USD 6249.46000000 0.000021651323 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9A51 482254.99930000 PA USD 538483.42000000 0.001865581817 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204BB93 607.23590000 PA USD 650.18000000 0.000002252555 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 0.07500000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAR4 19455000.00000000 PA USD 19720888.76000000 0.068323239164 Long DBT CORP US N 2 2050-05-15 Fixed 0.05000000 N N N N N N VARSITY BRANDS HOLDING CO INC 549300YOKDS0ZSYJRX81 42703UAG0 3121734.17000000 PA USD 2989060.47000000 0.010355633351 Long LON CORP US N 2 2024-12-15 Variable 0.05103380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9AG6 2554.50720000 PA USD 2988.32000000 0.000010353067 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128KHMC7 191790.28850000 PA USD 214465.94000000 0.000743019642 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EEAV1 227880.63740000 PA USD 247821.97000000 0.000858581980 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201DAT9 546.43780000 PA USD 629.65000000 0.000002181429 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 0.07000000 N N N N N N BAYVIEW COML ASSET TR 2006-3 N/A 07324NAM5 1652295.19370000 PA USD 0.17000000 0.000000000588 Long ABS-MBS CORP US N 3 2036-10-25 Variable 0.00000000 N N N N N N CEC ENTERTAINMENT INC 549300MWTY75LB8TRO50 12513VAF3 1620937.50000000 PA USD 1530440.56000000 0.005302228397 Long LON CORP US N 2 2026-08-30 Variable 0.08103380 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FP67 173283.40030000 PA USD 186745.37000000 0.000646981418 Long ABS-MBS USGA US N 2 2041-02-20 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AFDU8 56312.32870000 PA USD 62151.21000000 0.000215323560 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N EL SALVADOR REPUBLIC OF 529900AKDMUSFSDOM949 N/A 325000.00000000 PA USD 343078.13000000 0.001188598009 Long DBT NUSS SV N 2 2025-01-30 Fixed 0.05875000 N N N N N N PUGET ENERGY INC NEW SYBSJ96YIDMIUY7WDR33 745310AB8 3265000.00000000 PA USD 3388290.91000000 0.011738771665 Long DBT CORP US N 2 2020-12-15 Fixed 0.06500000 N N N N N N COMM 2012-CCRE2 MTG TR N/A 12624KBC9 522000.00000000 PA USD 390425.67000000 0.001352634090 Long ABS-MBS CORP US N 2 2045-08-15 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177ULL6 63863.88800000 PA USD 69308.95000000 0.000240121630 Long ABS-MBS USGA US N 2 2042-06-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HLHW6 5024883.12700000 PA USD 5391849.84000000 0.018680123935 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417JPV6 48282.40840000 PA USD 53505.76000000 0.000185371302 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 0.04500000 N N N N N N CATALENT PHARMA SOLUTIONS 549300HALRZ339MSTH85 14879EAD0 3265000.00000000 PA USD 3346625.00000000 0.011594419655 Long DBT CORP US N 2 2026-01-15 Fixed 0.04875000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FLP9 98522.62090000 PA USD 107969.21000000 0.000374060532 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200WFG1 182.10020000 PA USD 212.50000000 0.000000736208 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N APRO LLC 549300HALLMPVGYAKP14 03834XAK9 388888.89000000 PA USD 384513.89000000 0.001332152662 Long LON CORP US N 2 2026-11-14 Variable 0.04000000 N N N N N N VERITAS US INC 549300RFUWCPWS8FQ104 N/A 2648039.55100000 PA USD 2475916.98000000 0.008577842004 Long LON CORP US N 2 2023-01-27 Variable 0.06158370 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J5M30 6578180.70100000 PA USD 7094208.06000000 0.024577962984 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9P63 2849047.78460000 PA USD 3117620.40000000 0.010801030663 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295HAZ3 17031.37800000 PA USD 19413.10000000 0.000067256901 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.05500000 N N N N N N TOLEDO HOSP 5493009DCR7NWV6K4T34 889184AE7 13176000.00000000 PA USD 17067820.15000000 0.059131653360 Long DBT CORP US N 2 2048-11-15 Fixed 0.06015000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201BKE5 8508.67560000 PA USD 9693.30000000 0.000033582546 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N DBCCRE 2014-ARCP MORTGAGE TRUST N/A 23305MAJ4 458000.00000000 PA USD 483232.96000000 0.001674165982 Long ABS-MBS CORP US N 2 2034-01-10 Variable 0.04934500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MN3F5 207141.57910000 PA USD 221193.79000000 0.000766328353 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209EED0 1391.81120000 PA USD 1580.30000000 0.000005474966 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416BT65 18898.22070000 PA USD 19834.71000000 0.000068717574 Long ABS-MBS USGSE US N 2 2035-07-01 Variable 0.04075000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293KN36 203.92300000 PA USD 231.44000000 0.000000801826 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.06000000 N N N N N N LEARNING CARE GROUP (US) NO. 2 INC N/A 52201CAC5 1644822.23000000 PA USD 1622896.75000000 0.005622543899 Long LON CORP US N 2 2025-03-13 Variable 0.05052230 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413RYK6 346.42500000 PA USD 358.66000000 0.000001242581 Long ABS-MBS USGSE US N 2 2022-10-01 Fixed 0.06000000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FAZ78 83339.91070000 PA USD 16280.28000000 0.000056403211 Long ABS-CBDO USGSE US N 2 2033-07-25 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A1T76 16211.78180000 PA USD 17626.51000000 0.000061067240 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BSG2 7856245.54100000 PA USD 8429986.37000000 0.029205781844 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395RA81 545993.42460000 PA USD 630462.81000000 0.002184245440 Long ABS-CBDO USGSE US N 2 2035-03-15 Fixed 0.06000000 N N N N N N ALDEVRON LLC 254900EZVEZ2H0CZ0E75 01438KAG0 3455000.00000000 PA USD 3429087.50000000 0.011880111907 Long LON CORP US N 2 2026-10-11 Variable 0.06194630 N N N N N N BANK 2019-BN18 N/A 065402AL3 588000.00000000 PA USD 530462.73000000 0.001837794047 Long ABS-MBS CORP US N 2 2062-05-15 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203KBZ6 48.63540000 PA USD 49.81000000 0.000000172567 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KWX5 509.32010000 PA USD 598.41000000 0.000002073198 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208HEX0 156.42270000 PA USD 179.32000000 0.000000621256 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N OSCHADBANK (SSB #1 PLC) 213800X3YF17XQS13O34 N/A 684250.00000000 PA USD 713544.45000000 0.002472082709 Long DBT CORP GB N 2 2023-03-10 Variable 0.09375000 N N N N N N SP PF BUYER LLC N/A 78471PAB6 1612812.50000000 PA USD 1472497.81000000 0.005101485093 Long LON CORP US N 2 2025-12-21 Variable 0.06103380 N N N N N N CONSOLIDATED CONTAINER CO LLC 549300FG8OPBIML5F686 N/A 1425954.73000000 PA USD 1408130.30000000 0.004878483136 Long LON CORP US N 2 2024-05-22 Variable 0.04353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J5MF3 55541419.82500000 PA USD 57449267.60000000 0.199033628646 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224YQB8 173.78680000 PA USD 183.05000000 0.000000634178 Long ABS-MBS USGA US N 2 2023-03-15 Fixed 0.07000000 N N N N N N ALFA BD ISSUANCE PLC 253400QWEQNERA6RJS29 N/A 200000.00000000 PA USD 203437.50000000 0.000704811488 Long EP CORP IE N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375VUR2 41.87390000 PA USD 46.45000000 0.000000160926 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208QBD7 1823.17020000 PA USD 2059.27000000 0.000007134363 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N NBC UNIVERSAL INC VTBDOQJ6KOGQ6K786R46 63946BAG5 4363000.00000000 PA USD 6354984.24000000 0.022016913811 Long DBT CORP US N 2 2041-04-01 Fixed 0.05950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371KLJ8 65.87320000 PA USD 67.88000000 0.000000235171 Long ABS-MBS USGSE US N 2 2022-02-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F8UP0 1108449.71610000 PA USD 1187781.79000000 0.004115083265 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378FDK8 173.19950000 PA USD 195.11000000 0.000000675960 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CUH5 12880524.86000000 PA USD 13357963.41000000 0.046278813288 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 0.03000000 N N N N N N VALEANT PHARMACEUTICALS INTL INC KOO0397YRO83WY5MGD97 N/A 1275000.00000000 PA USD 1266636.00000000 0.004388274555 Long LON CORP US N 2 2025-11-27 Variable 0.04408500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M7ME3 354714.45690000 PA USD 393265.32000000 0.001362472089 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207UB80 918.04840000 PA USD 1020.06000000 0.000003534009 Long ABS-MBS USGA US N 2 2026-10-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WRB58 35071.86600000 PA USD 37078.55000000 0.000128459050 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 30100000.00000000 NC USD 959768.90000000 0.003325130063 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2030-02-28 0.00000000 USD 0.00000000 USD 30100000.00000000 USD 1.00000000 1.40000000 USD 2025-02-26 XXXX 111701.40000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31358Q2R5 5582.71690000 PA USD 5830.04000000 0.000020198238 Long ABS-CBDO USGSE US N 2 2022-10-25 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410YWC4 3580.47550000 PA USD 4270.14000000 0.000014793947 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201T7E1 324.75040000 PA USD 366.14000000 0.000001268496 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 0.07000000 N N N N N N DTEK FINANCE PLC 549300VBCR9V58ZYQ356 N/A 6387087.00000000 PA USD 6199466.32000000 0.021478120242 Long DBT CORP GB N 2 2024-12-31 Variable 0.10750000 N N Y N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQB76 1069748.07470000 PA USD 1147332.84000000 0.003974947426 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312943UM3 14114.75060000 PA USD 15622.30000000 0.000054123632 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213E2H8 1932.33220000 PA USD 2238.81000000 0.000007756382 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M4WF8 136126.42260000 PA USD 147342.22000000 0.000510468765 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N REYNOLDS GRP ISSUER INC/LLC/SA N/A 761735AV1 2995000.00000000 PA USD 3023093.10000000 0.010473539778 Long DBT CORP US N 2 2024-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378XZJ8 78.52500000 PA USD 85.50000000 0.000000296215 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N EMERA US FINANCE LP N/A 29103DAF3 3220000.00000000 PA USD 3270376.58000000 0.011330256153 Long DBT CORP US N 2 2021-06-15 Fixed 0.02700000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 N/A 4290000.00000000 PA 4694581.74000000 0.016264430822 Long DBT CORP DK N 2 2025-08-27 Variable 0.00500000 N N N N N N NOBLE HLDG INTL LTD 549300GNEZBJHMST9U32 65504LAQ0 1230000.00000000 PA USD 757987.50000000 0.002626056151 Long DBT CORP KY N 2 2026-02-01 Fixed 0.07875000 N N N N N N MTRO COML MTG TR 2019-TECH N/A 55378MAJ8 742000.00000000 PA USD 740138.47000000 0.002564217988 Long ABS-MBS CORP US N 2 2033-12-15 Variable 0.03708500 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 455780AZ9 2268000.00000000 PA USD 3524279.22000000 0.012209904683 Long DBT NUSS ID N 2 2038-01-17 Fixed 0.07750000 N N N N N N MORGAN STANLEY CAP I TR 2011-C3 N/A 61760RAE2 7800000.00000000 PA USD 8124976.08000000 0.028149070291 Long ABS-MBS CORP US N 2 2049-07-15 Variable 0.05244467 N N N N N N GHANA REP 213800PP4399SNNXZ126 37443GAA9 655000.00000000 PA USD 690206.25000000 0.002391227254 Long DBT NUSS GH N 2 2027-03-26 Fixed 0.07875000 N N N N N N INTERNATIONAL FLAVS and FRAG INC BZLRL03D3GPGMOGFO832 N/A 4273000.00000000 PA 4999060.31000000 0.017319300225 Long DBT CORP US N 2 2026-09-25 Fixed 0.01800000 N N N N N N MERRILL LYNCH ALTERNATIVE NT ASSET SER 2007 OAR1 N/A 59023TAA3 51821.65580000 PA USD 52734.83000000 0.000182700406 Long ABS-CBDO CORP US N 2 2037-02-25 Variable 0.01830880 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 6400000.00000000 NC USD 11784.32000000 0.000040826908 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S11 PRC INDX CMBX0AAA Y 2054-11-18 0.00000000 USD 13069.58000000 USD 6400000.00000000 USD 24853.90000000 N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UHAK1 23123.13020000 PA USD 24187.34000000 0.000083797309 Long ABS-MBS USGSE US N 2 2041-09-01 Variable 0.04130000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292SAX8 225650.37920000 PA USD 237330.83000000 0.000822235308 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AABN7 38295.35650000 PA USD 42218.23000000 0.000146265528 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04500000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAG5 8532000.00000000 PA USD 9463762.06000000 0.032787309258 Long DBT CORP US N 2 2024-12-01 Fixed 0.04875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMNE8 48531.52390000 PA USD 52669.34000000 0.000182473516 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TKW97 105386.96930000 PA USD 117749.85000000 0.000407945669 Long ABS-CBDO USGSE US N 2 2029-05-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212TTK0 146.04680000 PA USD 168.66000000 0.000000584324 Long ABS-MBS USGA US N 2 2030-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208LN86 255.17280000 PA USD 287.43000000 0.000000995804 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208TWP1 1280.55730000 PA USD 1427.62000000 0.000004946005 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N MURRAY ENERGY CORP 549300WM5IIFYHZYTT63 627048AQ4 5323460.60550000 PA USD 844141.15000000 0.002924536433 Long LON CORP US N 2 2022-10-17 Variable 0.00000000 Y Y N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404ARW6 59033.05260000 PA USD 64785.59000000 0.000224450399 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N BROOKFIELD WEC HOLDINGS INC 5493002M6GRSU1IWMG57 11284EAL7 7412854.68000000 PA USD 7270750.26000000 0.025189595406 Long LON CORP US N 2 2025-08-01 Variable 0.04603380 N N N N N N ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER N/A 01883LAA1 6620000.00000000 PA USD 6603582.40000000 0.022878184910 Long DBT CORP US N 2 2027-10-15 Fixed 0.06750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WRTX8 28264.13110000 PA USD 29881.30000000 0.000103524097 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204RYR3 189.58890000 PA USD 201.79000000 0.000000699103 Long ABS-MBS USGA US N 2 2024-01-15 Fixed 0.07000000 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAK9 5064000.00000000 PA USD 5930594.93000000 0.020546612311 Long DBT CORP US N 2 2026-06-15 Fixed 0.06020000 N N N N N N ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC N/A 03969AAP5 3500000.00000000 PA USD 3557050.00000000 0.012323439416 Long DBT CORP IE N 2 2027-08-15 Fixed 0.05250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FWJ7 418653.87120000 PA USD 467516.68000000 0.001619716754 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N HILTON DOMESTIC OPERATING CO INC 5493003EG7H0N1E4XV50 432833AB7 4638000.00000000 PA USD 4653444.54000000 0.016121910534 Long DBT CORP US N 2 2024-09-01 Fixed 0.04250000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFU8 4916000.00000000 PA USD 5548963.51000000 0.019224445998 Long DBT CORP US N 2 2026-03-03 Fixed 0.04450000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945X52 37111.81620000 PA USD 41075.60000000 0.000142306874 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408XB74 4787.54100000 PA USD 5648.58000000 0.000019569568 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31372GGB9 186.14810000 PA USD 190.62000000 0.000000660405 Long ABS-MBS USGSE US N 2 2024-02-01 Fixed 0.06500000 N N N N N N DUQUESNE LIGHT HLDGS INC 4CUJ1D8WDXK9X7QI6B93 266233AC9 16498000.00000000 PA USD 16883384.54000000 0.058492674131 Long DBT CORP US N 2 2020-09-15 Fixed 0.06400000 N N N N N N GS MTG SECS CORP TR 2019 5493005BBCF84ICNQ550 36257HBG0 1107500.00000000 PA USD 1092952.43000000 0.003786545889 Long ABS-MBS CORP US N 2 2052-07-10 Variable 0.03549690 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177L3E2 24207.40180000 PA USD 26233.51000000 0.000090886288 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FDL3 211.71880000 PA USD 233.17000000 0.000000807820 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201FSS7 1078.22760000 PA USD 1241.64000000 0.000004301675 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 0.07000000 N N N N N N TRICON AMERICAN HOMES 2019 N/A 89612LAF3 924000.00000000 PA USD 942281.06000000 0.003264543246 Long ABS-CBDO CORP US N 2 2038-03-17 Fixed 0.03745000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2011-C5 N/A 46636VAP1 414648.00000000 PA USD 431818.86000000 0.001496041258 Long ABS-MBS CORP US N 2 2046-08-15 Variable 0.05417840 N N N N N N PAPUA NEW GUINEA N/A 69888UAB1 860000.00000000 PA USD 929875.00000000 0.003221562313 Long DBT NUSS PG N 2 2028-10-04 Fixed 0.08375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390YXX1 3464.99730000 PA USD 3957.02000000 0.000013709139 Long ABS-MBS USGSE US N 2 2028-09-01 Fixed 0.07000000 N N N N N N AMERICAN HOMES 4 RENT 2015-SFR1 TR N/A 02666AAE8 662438.00000000 PA USD 732194.71000000 0.002536696742 Long ABS-CBDO CORP US N 2 2052-04-17 Fixed 0.05639000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BEX0 117362.00810000 PA USD 122005.64000000 0.000422689901 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C4ER7 22740.87560000 PA USD 24658.45000000 0.000085429475 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307U5S3 1741660.14200000 PA USD 1809705.41000000 0.006269744586 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205SQA6 300.59650000 PA USD 340.81000000 0.000001180740 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230RUS3 5400.72190000 PA USD 6005.75000000 0.000020806987 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402ALD6 22213.78460000 PA USD 24281.31000000 0.000084122869 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374QUH6 159.91920000 PA USD 178.85000000 0.000000619627 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128KG6J2 28524.26040000 PA USD 33406.89000000 0.000115738543 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.07000000 N N N N N N IMPERIAL TOBACCO FINANCE 2138008L3B3MCG1DFS50 453140AF2 11765000.00000000 PA USD 12787483.80000000 0.044302380313 Long DBT CORP GB N 2 2025-07-21 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335B7H3 836356.13800000 PA USD 927252.49000000 0.003212476598 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.04500000 N N N N N N OMAN SULTANATE 549300SZ20F0QTKNQC75 682051AB3 400000.00000000 PA USD 399750.00000000 0.001384938335 Long DBT NUSS OM N 2 2021-06-15 Fixed 0.03625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J6DM3 129964.16290000 PA USD 140956.53000000 0.000488345471 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.04000000 N N N N N N GS MTG SECS TR 2013-GCJ12 549300SSCQUZ3RRV2T53 36197XAB0 254518.00000000 PA USD 258227.07000000 0.000894630565 Long ABS-MBS CORP US N 2 2046-06-10 Variable 0.04451323 N N N N N N GS MTG SECS TR 2013-GC13 N/A 36198EBB0 1907000.00000000 PA USD 1923121.59000000 0.006662676207 Long ABS-MBS CORP US N 2 2046-07-10 Variable 0.04083167 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206MPJ0 1142.51530000 PA USD 1245.87000000 0.000004316330 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.07000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -11000000.00000000 NC USD -38763.45000000 -0.00013429640 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-05-17 0.00000000 USD 0.00000000 USD -11000000.00000000 USD 1.00000000 2.45000000 USD 2022-05-13 XXXX 271986.55000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194GPG3 156383.60480000 PA USD 166931.35000000 0.000578335524 Long ABS-MBS USGA US N 2 2046-07-15 Fixed 0.04000000 N N N N N N IBC CAPITAL LTD N/A N/A 280000.00000000 PA USD 275800.00000000 0.000955512177 Long LON CORP KY N 2 2024-09-11 Variable 0.08898500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211BUB8 1299.37850000 PA USD 1489.55000000 0.000005160562 Long ABS-MBS USGA US N 2 2029-06-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNCX5 171387.09580000 PA USD 183903.48000000 0.000637135658 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368LVL5 24.66420000 PA USD 25.55000000 0.000000088518 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MAX8 15823.97700000 PA USD 16836.08000000 0.000058328787 Long ABS-MBS USGA US N 2 2042-04-20 Fixed 0.03500000 N N N N N N PARAGUAY REP 529900UXKJTJPCU0HK83 699149AH3 170000.00000000 PA USD 204085.00000000 0.000707054759 Long DBT NUSS PY N 2 2050-03-30 Fixed 0.05400000 N N N N N N BRAND INDUSTRIAL SERVICES INC 549300B658W2BPDQMW42 10524MAN7 7975753.21000000 PA USD 7792310.89000000 0.026996548028 Long LON CORP US N 2 2024-06-21 Variable 0.06088030 N N N N N N MARSH and MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BG6 12747000.00000000 PA USD 14855212.69000000 0.051466050126 Long DBT CORP US N 2 2029-03-15 Fixed 0.04375000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31296RNQ7 33594.36630000 PA USD 37566.87000000 0.000130150840 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A6RX7 3223.14330000 PA USD 3767.30000000 0.000013051852 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297YK84 2692.37650000 PA USD 3162.57000000 0.000010956759 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407PV88 1753.80030000 PA USD 2069.78000000 0.000007170775 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402CJE3 6797.78500000 PA USD 7905.16000000 0.000027387515 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E07L7 340027.17380000 PA USD 370419.75000000 0.001283323357 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N VIRGIN MONEY UK PLC 213800ZK9VGCYYR6O495 N/A 1489000.00000000 PA 1941347.33000000 0.006725819487 Long DBT CORP GB N 2 2025-06-22 Variable 0.03125000 N N N N N N UBS-BAMLL TR 2012-WRM N/A 90269PAN1 849000.00000000 PA USD 835156.55000000 0.002893409186 Long ABS-MBS CORP US N 2 2030-06-10 Variable 0.04238000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374QT96 167.31200000 PA USD 185.16000000 0.000000641488 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599DL6 18160000.00000000 PA USD 22046168.09000000 0.076379195349 Long DBT CORP US N 2 2046-03-15 Fixed 0.06600000 N N N N N N HYLAND SOFTWARE INC N/A 44908XAS7 221000.00000000 PA USD 221921.57000000 0.000768849755 Long LON CORP US N 2 2025-07-07 Variable 0.08603380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H4N34 241295.79200000 PA USD 248453.61000000 0.000860770304 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q75Q6 14539293.21820000 PA USD 15502902.32000000 0.053709978076 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201BC95 4464.82590000 PA USD 4952.54000000 0.000017158130 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207WEN0 148.56300000 PA USD 167.17000000 0.000000579162 Long ABS-MBS USGA US N 2 2027-04-15 Fixed 0.07500000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AH3 19595000.00000000 PA USD 22287228.18000000 0.077214350721 Long DBT CORP US N 2 2028-10-15 Fixed 0.04375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3617M76V5 665146.11700000 PA USD 707273.28000000 0.002450356170 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208GTN8 377.36750000 PA USD 380.26000000 0.000001317415 Long ABS-MBS USGA US N 2 2027-05-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E0JS9 62636.56770000 PA USD 68004.72000000 0.000235603111 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209SW80 1876.35290000 PA USD 2166.83000000 0.000007507006 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MAD22 12230132.02200000 PA USD 13062146.68000000 0.045253952926 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378JGT8 27.33450000 PA USD 30.72000000 0.000000106429 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385Y5W1 153.43280000 PA USD 155.58000000 0.000000539008 Long ABS-MBS USGSE US N 2 2030-09-01 Fixed 0.07500000 N N N N N N WELLS FARGO COML MTG TR 2017-RB1 N/A 95000TAC0 595000.00000000 PA USD 584704.60000000 0.002025715611 Long ABS-MBS CORP US N 2 2050-03-15 Fixed 0.03401000 N N N N N N BRIGHT HORIZONS FAMILY SOLUTIONS LLC 254900BHOU40CFNXWQ75 10919RAG4 934527.39000000 PA USD 931415.41000000 0.003226899081 Long LON CORP US N 2 2023-11-07 Variable 0.03353380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201T6Z5 1042.54090000 PA USD 1215.95000000 0.000004212672 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N NOBLE HLDG INTL LTD 549300GNEZBJHMST9U32 65504LAL1 4655000.00000000 PA USD 1629250.00000000 0.005644554804 Long DBT CORP KY N 2 2045-04-01 Variable 0.08950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403DPW3 27.40560000 PA USD 27.54000000 0.000000095412 Long ABS-MBS USGSE US N 2 2021-03-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179NM96 65807.48190000 PA USD 69095.75000000 0.000239382996 Long ABS-MBS USGA US N 2 2043-09-20 Fixed 0.03000000 N N N N N N GPMT 2018-FL1 LTD / GPMT 2018-FL1 LLC N/A 36255CAJ8 424000.00000000 PA USD 423933.01000000 0.001468720643 Long ABS-MBS CORP US N 2 2035-11-21 Variable 0.04578880 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180NCL7 1390657.99710000 PA USD 1460483.21000000 0.005059860377 Long ABS-MBS USGA US N 2 2043-04-20 Fixed 0.03500000 N N N N N N ASCEND LEARNING LLC 549300T466HKRLVCD610 043502AA1 565000.00000000 PA USD 584306.05000000 0.002024334830 Long DBT CORP US N 2 2025-08-01 Fixed 0.06875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290SYU9 3800.12280000 PA USD 4283.36000000 0.000014839748 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5BE8 9330.17750000 PA USD 10410.39000000 0.000036066912 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N GMAC COML MTG SEC INC N/A 361849GN6 949793.96000000 PA USD 974172.13000000 0.003375030214 Long ABS-MBS CORP US Y 2 2033-09-15 Fixed 0.06481000 N N N N N N GEO GROUP INC NEW 5493003VOR6NTY465495 36162JAB2 4574000.00000000 PA USD 4139470.00000000 0.014341240005 Long DBT CORP US N 2 2026-04-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208E6U2 182.78250000 PA USD 208.30000000 0.000000721657 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297S6M2 5115.84540000 PA USD 5754.07000000 0.000019935039 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208TZX1 96.69670000 PA USD 107.77000000 0.000000373370 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31288AFU4 15108.85240000 PA USD 17339.19000000 0.000060071817 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.06000000 N N N N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAM9 6996000.00000000 PA USD 7791343.83000000 0.026993197638 Long DBT CORP US N 2 2028-03-01 Fixed 0.04000000 N N N N N N POST APT HOMES LP 5493005D04NMMCMCB212 737415AL3 1637000.00000000 PA USD 1709546.90000000 0.005922744310 Long DBT CORP US N 2 2022-12-01 Fixed 0.03375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WWT41 57524.12890000 PA USD 60815.45000000 0.000210695805 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AH37 70.82650000 PA USD 76.88000000 0.000000266351 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JFE3 168199.10300000 PA USD 182877.12000000 0.000633579822 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N HAMILTON HOLDCO LLC 254900D9C1TQ3VZLE866 40739EAB9 1411507.83000000 PA USD 1383277.67000000 0.004792380922 Long LON CORP US N 2 2027-01-04 Variable 0.03950000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200YEA1 1597.23320000 PA USD 1856.88000000 0.000006433181 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378D7H7 1574.10150000 PA USD 1810.51000000 0.000006272532 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31388HBC2 460.51400000 PA USD 536.11000000 0.000001857359 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.07000000 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38141GWL4 128004000.00000000 PA USD 139938724.31000000 0.484819271875 Long DBT CORP US N 2 2028-06-05 Variable 0.03691000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138Y4E88 66851.75670000 PA USD 74082.93000000 0.000256661137 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208YFG9 290.40540000 PA USD 328.88000000 0.000001139408 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N DYNASTY ACQUISITION CO INC 549300L1RCRPOAUCB870 N/A 1199790.21000000 PA USD 1174294.67000000 0.004068356987 Long LON CORP US N 2 2026-04-08 Variable 0.05212750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410NJW9 866.61870000 PA USD 886.30000000 0.000003070596 Long ABS-MBS USGSE US N 2 2021-09-01 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F0JE5 1934050.14050000 PA USD 2067066.76000000 0.007161375855 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M7UU8 6260.82080000 PA USD 6941.26000000 0.000024048072 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204KWH2 177.72260000 PA USD 193.20000000 0.000000669343 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208GHJ0 202.58850000 PA USD 226.47000000 0.000000784607 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N BUCKEYE PARTNERS MLP 549300C1PQJLVEIUBK50 11823LAH8 2125000.00000000 PA USD 2096673.75000000 0.007263949602 Long LON CORP US N 2 2026-10-18 Variable 0.04405000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A4QP3 46878.29350000 PA USD 50947.19000000 0.000176507108 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 03523TBV9 34229000.00000000 PA USD 46367928.40000000 0.160642205337 Long DBT CORP US N 2 2049-01-23 Fixed 0.05550000 N N N N N N AXTEL SAB DE CV 549300BVRDR8XTSXAD13 05462GAJ3 976000.00000000 PA USD 1004304.00000000 0.003479422414 Long DBT CORP MX N 2 2024-11-14 Fixed 0.06375000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F040636 -7200000.00000000 PA USD -7583863.68000000 -0.02627438034 Short ABS-MBS USGA US N 2 2050-03-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XYUS4 22807107.84000000 PA USD 24565079.71000000 0.085105992764 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375FKJ6 32.68790000 PA USD 34.96000000 0.000000121119 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A6DP2 66372.51470000 PA USD 72102.33000000 0.000249799326 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36292AUR7 97870.00400000 PA USD 109130.36000000 0.000378083349 Long ABS-MBS USGA US N 2 2035-07-15 Fixed 0.05000000 N N N N N N TERVITA ESCROW CORP N/A 88158UAA6 380000.00000000 PA USD 383800.00000000 0.001329679382 Long DBT CORP CA N 2 2021-12-01 Fixed 0.07625000 N N N N N N VRX ESCROW CORP N/A 91831AAB7 152000.00000000 PA USD 152570.00000000 0.000528580467 Long DBT CORP CA N 2 2023-05-15 Fixed 0.05875000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828XL9 161548600.00000000 PA USD 182636551.83000000 0.632746371760 Long DBT UST US N 2 2025-07-15 Fixed 0.00375000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P8GB1 23014167.96100000 PA USD 24557058.49000000 0.085078203158 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371LBU2 91067.04100000 PA USD 99523.67000000 0.000344800865 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402CST0 25975.89840000 PA USD 27089.82000000 0.000093852983 Long ABS-MBS USGSE US N 2 2033-03-01 Variable 0.04062000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M17E2 292035.08660000 PA USD 313215.28000000 0.001085137832 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213FS87 43842.59680000 PA USD 48368.06000000 0.000167571683 Long ABS-MBS USGA US N 2 2033-05-15 Fixed 0.05000000 N N N N N N LAGARDERE SCA 969500VX2NV2AQQ65G45 N/A 4600000.00000000 PA 5336770.71000000 0.018489301675 Long DBT CORP FR N 2 2023-04-13 Fixed 0.02750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209LMT0 200.07270000 PA USD 227.36000000 0.000000787691 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 0.07000000 N N N N N N CEMEX FIN LLC 529900USOXVC2TX3H980 12516UAD7 381000.00000000 PA USD 386834.06000000 0.001340190917 Long DBT CORP US N 2 2024-04-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201SEY1 92.87420000 PA USD 108.66000000 0.000000376453 Long ABS-MBS USGA US N 2 2032-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402JAE7 22575.67910000 PA USD 24640.89000000 0.000085368638 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.04500000 N N N N N N JBS USA LLC / JBS USA FIN INC N/A 466112AP4 23400000.00000000 PA USD 23809968.00000000 0.082489899819 Long DBT CORP US N 2 2024-07-15 Fixed 0.05875000 N N N N N N MOOG INC 549300WM2I4U7OBAHG07 615394AM5 515000.00000000 PA USD 524012.50000000 0.001815447153 Long DBT CORP US N 2 2027-12-15 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QXBE6 196780.22790000 PA USD 211456.10000000 0.000732592017 Long ABS-MBS USGSE US N 2 2046-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390FKW8 6038.48420000 PA USD 6925.55000000 0.000023993645 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07000000 N N N N N N AECOM 0EEB8GF0W0NPCIHZX097 00774CAB3 7722000.00000000 PA USD 7978910.94000000 0.027643025984 Long DBT CORP US N 2 2027-03-15 Fixed 0.05125000 N N N N N N CIT MTG LN TR 2007-1 N/A 12559QAA0 7592251.84040000 PA USD 7657224.81000000 0.026528540797 Long ABS-CBDO CORP US N 2 2037-10-25 Variable 0.02976750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418ANL8 644764.61420000 PA USD 669872.84000000 0.002320781928 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.03000000 N N N N N N CORPORACION NACIONAL DEL COBRE DE CHILE 549300UVMBCBCIPSUI70 21987BAW8 5273000.00000000 PA USD 5638814.38000000 0.019535735340 Long DBT CORP CL N 2 2027-08-01 Fixed 0.03625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E94A5 76783.58150000 PA USD 83646.71000000 0.000289794960 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412LS50 6205.76090000 PA USD 6901.64000000 0.000023910808 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.06500000 N N N N N N BANK 2017-BNK6 N/A 060352AV3 830000.00000000 PA USD 783496.10000000 0.002714430981 Long ABS-MBS CORP US N 2 2060-07-15 Fixed 0.03100000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAE3 10157000.00000000 PA USD 10879029.03000000 0.037690517467 Long DBT CORP US N 2 2023-08-28 Variable 0.05022000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373X6K2 86.51090000 PA USD 96.39000000 0.000000333944 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FMB9 101393.24400000 PA USD 111115.07000000 0.000384959399 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 0.04500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RYJ9 189095.60370000 PA USD 188937.37000000 0.000654575626 Long ABS-CBDO USGA US N 2 2062-12-20 Variable 0.02134380 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 313920CW8 74938.91380000 PA USD 85910.82000000 0.000297638994 Long ABS-CBDO USGSE US N 2 2031-07-25 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XW7M7 96422.43300000 PA USD 103914.94000000 0.000360014469 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAQ6 8703000.00000000 PA USD 8820014.01000000 0.030557036955 Long DBT CORP US N 2 2030-05-15 Fixed 0.03750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293L6C3 822.60290000 PA USD 931.97000000 0.000003228820 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293S6T1 1160.03950000 PA USD 1308.02000000 0.000004531649 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410FU52 28.22470000 PA USD 28.36000000 0.000000098253 Long ABS-MBS USGSE US N 2 2021-05-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416Q6B6 10303.33660000 PA USD 11417.99000000 0.000039557753 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AN5U0 58333.60890000 PA USD 64382.07000000 0.000223052399 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RTA7 9725.18700000 PA USD 10389.54000000 0.000035994677 Long ABS-MBS USGA US N 2 2045-11-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AHXY7 2642385.75830000 PA USD 2920816.06000000 0.010119199831 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206MZZ3 913.81680000 PA USD 1000.51000000 0.000003466278 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VDS0 5836000.00000000 PA USD 8063121.60000000 0.027934774755 Long DBT CORP US N 2 2049-04-15 Fixed 0.05012000 N N N N N N EPV MERGER SUB INC N/A N/A 772126.45000000 PA USD 760351.52000000 0.002634246325 Long LON CORP US N 2 2025-03-08 Variable 0.04853380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3129434H3 14397.81360000 PA USD 15931.09000000 0.000055193439 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C32 N/A 61691GAX8 415000.00000000 PA USD 443751.82000000 0.001537383131 Long ABS-MBS CORP US N 2 2049-12-15 Variable 0.04291274 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373URG4 73.05680000 PA USD 80.37000000 0.000000278442 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.07500000 N N N N N N CROWN AMERS LLC / CROWN AMERS CAP CORP VI N/A 228187AB6 2332000.00000000 PA USD 2404875.00000000 0.008331716272 Long DBT CORP US N 2 2026-02-01 Fixed 0.04750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36192XPH6 177271.61710000 PA USD 189828.69000000 0.000657663614 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N STARWOOD PPTY TR INC BUGSFQZERKRBFWIG5267 85570DAD4 1246875.00000000 PA USD 1237523.44000000 0.004287413766 Long LON CORP US N 2 2026-07-10 Variable 0.04145250 N N N N N N GOLDMAN SACHS GROUP INC (THE) 784F5XWPLTWKTBV3E584 38148YAC2 64328000.00000000 PA USD 65601653.23000000 0.227277659629 Long DBT CORP US N 2 2022-10-31 Variable 0.02876000 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT N/A 05525DAN6 987000.00000000 PA USD 995584.93000000 0.003449215099 Long ABS-MBS CORP US N 2 2034-03-15 Variable 0.04858500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MXM4 1886.43150000 PA USD 2083.03000000 0.000007216680 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.07000000 N N N N N N AMERICOLD 2010 LLC TR N/A 03063NAR8 352000.00000000 PA USD 359641.50000000 0.001245981989 Long ABS-MBS CORP US N 2 2029-01-14 Fixed 0.07443000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NX4K0 616310.14080000 PA USD 656579.04000000 0.002274725410 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N RETL 2019-RVP N/A 74952PAJ6 20234000.00000000 PA USD 20278591.69000000 0.070255407188 Long ABS-MBS CORP US N 2 2036-03-15 Variable 0.03758500 N N N N N N AI CONVOY LUXEMBOURG SARL 222100GQMVQ4KP4KJS35 00135BAC7 1775000.00000000 PA USD 1752812.50000000 0.006072638464 Long LON CORP LU N 2 2027-01-20 Variable 0.05340000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H5XH9 776173.75200000 PA USD 836575.83000000 0.002898326297 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RDJ8 13000000.00000000 PA USD 14820979.55000000 0.051347449030 Long DBT CORP US N 2 2048-03-09 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31394KF41 1594706.19250000 PA USD 1817161.65000000 0.006295576813 Long ABS-CBDO USGSE US N 2 2033-10-15 Fixed 0.05500000 N N N N N N ARGENTINA REPUBLIC OF 549300KPBYGYF7HCHO27 040114GX2 12252000.00000000 PA USD 5371736.25000000 0.018610440178 Long DBT NUSS AR N 2 2026-04-22 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X3BQ0 8884832.04800000 PA USD 9330776.87000000 0.032326580583 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209KSL3 132.73360000 PA USD 150.58000000 0.000000521686 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AF4 5240000.00000000 PA USD 5544024.80000000 0.019207335782 Long DBT CORP US N 2 2021-11-15 Fixed 0.06750000 N N N N N N GOLD FIELDS OROGEN HLDG BVI LTD 213800CLGJ2E9KGU2F20 38060AAB0 280000.00000000 PA USD 305462.50000000 0.001058278239 Long DBT CORP VG N 2 2024-05-15 Fixed 0.05125000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GCN8 6838000.00000000 PA USD 7316660.00000000 0.025348650212 Long DBT CORP US N 2 2023-06-15 Fixed 0.06750000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F032633 351950000.00000000 PA USD 365470511.20000000 1.266176664147 Long ABS-MBS USGA US N 2 2050-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297GL33 1211.47420000 PA USD 1356.42000000 0.000004699332 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206LSZ3 101.45100000 PA USD 111.38000000 0.000000385877 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291QSF2 423259.06340000 PA USD 447156.35000000 0.001549178164 Long ABS-MBS USGA US N 2 2043-07-20 Fixed 0.03500000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 N/A 17291EBB6 51892523.13970000 PA USD 1740859.23000000 0.006031226227 Long ABS-MBS CORP US N 2 2049-12-10 Variable 0.00793067 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2011-C3 N/A 46635TBN1 828000.00000000 PA USD 611515.59000000 0.002118602585 Long ABS-MBS CORP US N 2 2046-02-15 Variable 0.04409000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WQJW3 512442.39740000 PA USD 552970.80000000 0.001915773506 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TVL0 1169.31970000 PA USD 1339.45000000 0.000004640539 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BAS5 372483.94550000 PA USD 387221.91000000 0.001341534628 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211QX97 1460.73970000 PA USD 1694.38000000 0.000005870198 Long ABS-MBS USGA US N 2 2031-05-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J4FN4 29150794.07800000 PA USD 30577372.72000000 0.105935648985 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.03000000 N N N N N N UKRAINE CABINET OF MINISTERS 6354001WLTJXOMEXPY07 903724AM4 8990000.00000000 PA USD 9133840.00000000 0.031644290599 Long DBT NUSS UA N 2 2020-09-01 Fixed 0.07750000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828V49 137872800.00000000 PA USD 153466978.32000000 0.531688058847 Long DBT UST US N 2 2027-01-15 Fixed 0.00375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KPY5 160452.57200000 PA USD 174454.58000000 0.000604399839 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XWY88 37885223.82000000 PA USD 39846916.92000000 0.138050088300 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.03500000 N N N N N N MARLETTE FUNDING TRUST 2019 N/A 57110AAA2 11805922.37000000 PA USD 11887651.23000000 0.041184900334 Long ABS-CBDO CORP US N 2 2029-12-17 Fixed 0.02390000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBA5 5281000.00000000 PA USD 5525246.25000000 0.019142277286 Long DBT CORP US N 2 2027-08-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293RTS0 283.65230000 PA USD 315.88000000 0.000001094369 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36294NEZ7 5487.39590000 PA USD 6423.76000000 0.000022255188 Long ABS-MBS USGA US N 2 2036-10-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQGK2 60852.31750000 PA USD 64916.03000000 0.000224902310 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GCU2 2803000.00000000 PA USD 2824022.50000000 0.009783857463 Long DBT CORP US N 2 2025-05-01 Fixed 0.05125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209NT77 2256.89730000 PA USD 2608.57000000 0.000009037419 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205RL96 46.61740000 PA USD 51.25000000 0.000000177556 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128KDFJ9 7111.61400000 PA USD 8022.00000000 0.000027792308 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.05000000 N N N N N N CELTIC RESOURCES HOLDINGS DAC 213800BMR8PHADXZAB66 15119CAA7 795000.00000000 PA USD 819624.33000000 0.002839597637 Long DBT CORP IE N 2 2024-10-09 Fixed 0.04125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BHF8 632.41630000 PA USD 719.28000000 0.000002491953 Long ABS-MBS USGA US N 2 2030-01-15 Fixed 0.07000000 N N N N N N MACK-CALI REALTY LP 549300MJC9VNA6VSEE11 55448QAS5 9387000.00000000 PA USD 9459274.27000000 0.032771761259 Long DBT CORP US N 2 2023-05-15 Fixed 0.03150000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419DJQ5 34796.54380000 PA USD 38495.71000000 0.000133368816 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBH2 8773000.00000000 PA USD 8805152.26000000 0.030505548256 Long DBT CORP US N 2 2022-09-09 Variable 0.02985000 N N N N N N PINE STR TR I N/A 72284LAA7 19200000.00000000 PA USD 23963130.24000000 0.083020532108 Long DBT CORP US N 2 2049-02-15 Fixed 0.05568000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DQM6 22186.01070000 PA USD 25166.70000000 0.000087190312 Long ABS-MBS USGA US N 2 2031-11-20 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HQBX9 111204.67030000 PA USD 120714.62000000 0.000418217147 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC N/A 46590XAA4 9180000.00000000 PA USD 9957546.00000000 0.034498029228 Long DBT CORP US N 2 2029-04-15 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31405YQ53 15406.54570000 PA USD 18207.59000000 0.000063080398 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06000000 N N N N N N GVC HOLDINGS PLC 213800GNI3K45LQR8L28 N/A 1886918.40000000 PA USD 1839745.44000000 0.006373818605 Long LON CORP IM N 2 2024-03-15 Variable 0.04145250 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DG2 5292000.00000000 PA USD 5550945.66000000 0.019231313179 Long DBT CORP US N 2 2029-08-15 Fixed 0.03250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EQL6 131175.80200000 PA USD 142622.95000000 0.000494118801 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378DNJ5 264.29800000 PA USD 303.99000000 0.000001053176 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295CHT1 113021.43960000 PA USD 118214.64000000 0.000409555939 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283HYM1 25055.56190000 PA USD 29074.10000000 0.000100727543 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FW57 285006.81530000 PA USD 324863.08000000 0.001125491765 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XYLA3 498146.46300000 PA USD 532807.49000000 0.001845917494 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 0.04000000 N N N N N N DEUTSCHE BANK AG NEW YORK BNCH 7LTWFZYICNSX8D621K86 251526CA5 29755000.00000000 PA USD 31313317.26000000 0.108485337056 Long DBT CORP US N 2 2022-02-14 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128KMYZ2 3205.53040000 PA USD 3830.60000000 0.000013271156 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209MU93 2318.07920000 PA USD 2632.02000000 0.000009118662 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178LUN1 12475.50530000 PA USD 13621.04000000 0.000047190245 Long ABS-MBS USGA US N 2 2042-08-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412NDE3 12457.67260000 PA USD 13717.84000000 0.000047525609 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YRYZ5 552583.66480000 PA USD 591797.05000000 0.002050287483 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207KJ35 236.14880000 PA USD 253.83000000 0.000000879396 Long ABS-MBS USGA US N 2 2029-02-15 Fixed 0.07000000 N N N N N N ENTERPRISE PRODS OPER LLC 5493004LGN656HWLDA30 29379VBE2 6359000.00000000 PA USD 6924331.12000000 0.023989422430 Long DBT CORP US N 2 2025-02-15 Fixed 0.03750000 N N N N N N INTELSAT JACKSON HLDGS S A 8XJ8KF85PBKK1TLMFN29 N/A 18395000.00000000 PA USD 18134342.85000000 0.062826633155 Long LON CORP LU N 2 2023-11-27 Variable 0.05682000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GEX96 8420.90120000 PA USD 9360.05000000 0.000032427997 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N TRINSEO MATLS OPER SCA / TRINSEO MATLS FIN INC N/A N/A 1245078.30000000 PA USD 1207725.95000000 0.004184180030 Long LON CORP LU N 2 2024-09-06 Variable 0.03603380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9X55 3589459.48800000 PA USD 3969927.12000000 0.013753856805 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402EZZ4 25576.39640000 PA USD 27945.78000000 0.000096818466 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223PAU3 197.72730000 PA USD 205.48000000 0.000000711887 Long ABS-MBS USGA US N 2 2021-11-15 Fixed 0.08500000 N N N N N N AFFINITY GAMING LLC N/A N/A 1181628.96000000 PA USD 1143226.02000000 0.003960719302 Long LON CORP US N 2 2023-07-01 Variable 0.04853380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBHZ9 54429.04240000 PA USD 58981.62000000 0.000204342480 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YF5T7 328771.63630000 PA USD 352102.49000000 0.001219863005 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MH42 2978.02250000 PA USD 3515.53000000 0.000012179592 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06500000 N N N N N N CHOBANI LLC/FINANCE CORP INC N/A 17027NAA0 1647000.00000000 PA USD 1638765.00000000 0.005677519628 Long DBT CORP US N 2 2025-04-15 Fixed 0.07500000 N N N N N N BX TR 2018-IND N/A 056059AQ1 6762699.97000000 PA USD 6773556.81000000 0.023467063150 Long ABS-MBS CORP US N 2 2035-11-15 Variable 0.03458500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402ESL3 50917.05900000 PA USD 55772.67000000 0.000193225037 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N RWANDA REP 213800AKFASSQE52AZ88 78347YAA1 1643000.00000000 PA USD 1758008.85000000 0.006090641277 Long DBT NUSS RW N 2 2023-05-02 Fixed 0.06625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J6EX8 274138.45000000 PA USD 292531.06000000 0.001013477121 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31380EJF2 1138.83800000 PA USD 1261.54000000 0.000004370619 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E75J9 19578.39660000 PA USD 21292.88000000 0.000073769420 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N MILLICOM INTL CELLULAR SA 549300CTHC1CP86P2G96 600814AP2 13781000.00000000 PA USD 14745670.00000000 0.051086538254 Long DBT CORP LU N 2 2026-10-15 Fixed 0.06625000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31300LCZ6 15384.95370000 PA USD 16089.18000000 0.000055741143 Long ABS-MBS USGSE US N 2 2037-06-01 Variable 0.04096000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ABDB9 46252.95700000 PA USD 50487.38000000 0.000174914091 Long ABS-MBS USGA US N 2 2040-01-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HPYW8 437960.99700000 PA USD 475414.33000000 0.001647078251 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.04000000 N N N N N N THUNDERBOLT AIRCRAFT LEASE LTD / US LLC N/A 88606WAA0 12045201.81880000 PA USD 12552793.85000000 0.043489294363 Long ABS-CBDO CORP KY N 2 2032-05-17 Fixed 0.04212000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204H7A2 182.95500000 PA USD 197.42000000 0.000000683963 Long ABS-MBS USGA US N 2 2023-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MJS35 1247026.26150000 PA USD 1312356.10000000 0.004546672352 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PDJ4 2717000.00000000 PA USD 3087191.25000000 0.010695608533 Long DBT NUSS DO N 2 2026-01-29 Fixed 0.06875000 N N N N N N PAKISTAN, ISLAMIC REP OF 529900LOP29R5WKHOD86 695847AK9 286000.00000000 PA USD 320617.44000000 0.001110782698 Long DBT NUSS PK N 2 2024-04-15 Fixed 0.08250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208DLK9 100.24340000 PA USD 114.01000000 0.000000394988 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 23311VAD9 3524000.00000000 PA USD 3508142.00000000 0.012153997104 Long DBT CORP US N 2 2023-03-15 Fixed 0.03875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295R4W5 28651.23420000 PA USD 31222.91000000 0.000108172120 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378LJQ6 35.65010000 PA USD 40.15000000 0.000000139100 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07000000 N N N N N N TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV 549300HSQCIKJAOYIT23 N/A 4302491.78000000 PA 4713352.80000000 0.016329463369 Long DBT CORP NL N 2 2020-07-25 Fixed 0.00375000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WDWH3 3490132.84310000 PA USD 3719931.57000000 0.012887744433 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DRH6 942.46460000 PA USD 1082.83000000 0.000003751476 Long ABS-MBS USGA US N 2 2032-01-20 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176KD87 34966.70140000 PA USD 37915.20000000 0.000131357633 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374TKM0 1010.69060000 PA USD 1138.18000000 0.000003943237 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MK66 83921.27850000 PA USD 88167.11000000 0.000305455936 Long ABS-MBS USGA US N 2 2042-08-20 Fixed 0.03000000 N N N N N N CHC COML MTG TR 2019-CHC N/A 162665AJ2 6376000.00000000 PA USD 6366003.71000000 0.022055090888 Long ABS-MBS CORP US N 2 2034-06-15 Variable 0.03408500 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MCY4 64917.08790000 PA USD 68282.58000000 0.000236565760 Long ABS-MBS USGA US N 2 2042-05-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205BVM1 116.68540000 PA USD 128.28000000 0.000000444427 Long ABS-MBS USGA US N 2 2024-10-15 Fixed 0.08000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AQ6B9 1277096.19360000 PA USD 74697.36000000 0.000258789837 Long ABS-CBDO USGSE US N 2 2031-05-15 Fixed 0.03500000 N N N N N N MORGAN STANLEY CAP I TR 2011-C2 3IFG42XD94UUZ7FL2766 617459AJ1 1788000.00000000 PA USD 1812635.60000000 0.006279896262 Long ABS-MBS CORP US N 2 2044-06-15 Variable 0.05487622 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402EWV6 41457.97570000 PA USD 45323.01000000 0.000157022073 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209CSP2 142.62140000 PA USD 161.80000000 0.000000560557 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M55Y4 58349.19710000 PA USD 63156.73000000 0.000218807195 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GDZS4 158538.74170000 PA USD 175422.15000000 0.000607751996 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQKH5 29973.36540000 PA USD 33043.76000000 0.000114480475 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N CAPITAL TR RE CDO 05-1 LTD COR 549300EO21RSSTCI1873 140558AE7 330000.00000000 PA USD 33.00000000 0.000000114328 Long ABS-CBDO CORP KY N 3 2050-03-20 Variable 0.03946380 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MX47 11839121.23920000 PA USD 12588954.35000000 0.043614572819 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WGMX9 20610.37700000 PA USD 22136.99000000 0.000076693848 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A -2675.00000000 NC USD -9077542.93000000 -0.03144924877 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Short UST NOTES UNDERLYING TREASURY 10 YR NOTEGENERIC IV FOR FUTURES TRADING 2020-06-19 -351378707.07000000 USD -9077542.93000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203TP41 133.67020000 PA USD 144.24000000 0.000000499721 Long ABS-MBS USGA US N 2 2023-09-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201NFP0 1065.37900000 PA USD 1214.68000000 0.000004208272 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N SANCHEZ ENERGY CORP 549300SB0HTIM17TVR61 79970YAE5 7883000.00000000 PA USD 4335650.00000000 0.015020907804 Long DBT CORP US N 2 2023-02-15 Fixed 0.07250000 N N N N N N WELLS FARGO COML MTG TR 2018-C46 N/A 95001QAV3 47017109.43000000 PA USD 2686209.71000000 0.009306403514 Long ABS-MBS CORP US N 2 2051-08-15 Variable 0.00944130 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JQXU2 503056.85700000 PA USD 564153.11000000 0.001954514744 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 0.05500000 N N N N N N AMR HMS 15-SFR2 N/A 02666BAG1 773595.25890000 PA USD 7.74000000 0.000000026815 Long ABS-CBDO CORP US N 3 2052-10-17 Variable 0.00000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211HUD1 351.37830000 PA USD 402.19000000 0.000001393391 Long ABS-MBS USGA US N 2 2029-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207QAC1 1735.71800000 PA USD 1956.95000000 0.000006779875 Long ABS-MBS USGA US N 2 2028-02-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416SVT5 37680.75970000 PA USD 42474.88000000 0.000147154695 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RF95 19075.22100000 PA USD 20247.59000000 0.000070148001 Long ABS-MBS USGA US N 2 2045-06-20 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FHX7 203861.32360000 PA USD 223408.04000000 0.000773999647 Long ABS-MBS USGA US N 2 2040-07-20 Fixed 0.04500000 N N N N N N KAZMUAIGAZ NATIONAL CO JSC 2138001H1M69RFJCSH88 48667QAR6 313000.00000000 PA USD 341952.50000000 0.001184698251 Long DBT CORP KZ N 2 2025-04-24 Fixed 0.04750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132AEJ72 7647099.15700000 PA USD 7941234.88000000 0.027512496853 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403DJU4 1842.03980000 PA USD 2177.03000000 0.000007542344 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378BAJ3 418.60490000 PA USD 480.13000000 0.000001663415 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201E3P3 678.37660000 PA USD 792.85000000 0.000002746837 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 0.07000000 N N N N N N MOFT TR 2020-ABC N/A 55317BAL1 349000.00000000 PA USD 316370.42000000 0.001096068850 Long ABS-MBS CORP US N 2 2030-02-06 Variable 0.03476700 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375AAJ8 258.44960000 PA USD 283.60000000 0.000000982535 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408F5Z8 15652.49690000 PA USD 17170.65000000 0.000059487908 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379JSB3 668.57460000 PA USD 770.11000000 0.000002668054 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389YU41 969.06300000 PA USD 1139.17000000 0.000003946667 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GJTS8 55348.77810000 PA USD 60358.81000000 0.000209113770 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N BANCO ESPIRITO SANTO SA UBGVXZLX4SCS302CM391 N/A 1300000.00000000 PA 243972.95000000 0.000845247007 Long DBT CORP PT N 2 2049-12-31 Fixed 0.04000000 Y Y N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283K4C9 235.16240000 PA USD 235.32000000 0.000000815268 Long ABS-MBS USGSE US N 2 2020-06-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211HTH4 471.45860000 PA USD 541.67000000 0.000001876621 Long ABS-MBS USGA US N 2 2029-06-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945RC4 92337.21950000 PA USD 102170.57000000 0.000353971079 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851AT6 3670000.00000000 PA USD 3781907.92000000 0.013102462189 Long DBT CORP US N 2 2022-10-01 Fixed 0.02875000 N N N N N N BOLIVIA REP 529900TGIRPY3SZXEB56 29731QAB3 275000.00000000 PA USD 291843.75000000 0.001011095928 Long DBT NUSS BO N 2 2023-08-22 Fixed 0.05950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AAJ7 6361198.30380000 PA USD 6814483.30000000 0.023608853432 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128FGB29 184.76420000 PA USD 207.11000000 0.000000717534 Long ABS-MBS USGSE US N 2 2026-09-01 Fixed 0.08500000 N N N N N N LEVEL 3 FINANCING INC N/A 527298BF9 3500000.00000000 PA USD 3508750.00000000 0.012156103527 Long DBT CORP US N 2 2023-05-01 Fixed 0.05125000 N N N N N N MGM GROWTH PPTYS OPER PARTNERSHIP LP / MGP FIN CO-ISSUER INC N/A 55303XAC9 3500000.00000000 PA USD 3788750.00000000 0.013126166651 Long DBT CORP US N 2 2024-05-01 Fixed 0.05625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QNSS9 887681.64170000 PA USD 951121.94000000 0.003295172574 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ETG75 1632322.97370000 PA USD 1768532.65000000 0.006127101100 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04000000 N N N N N N MORGAN STANLEY CAP I TR 2019-MEAD N/A 61771LAG7 4265000.00000000 PA USD 4370919.14000000 0.015143098133 Long ABS-MBS CORP US N 2 2036-11-10 Fixed 0.03177090 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YWH42 3394803.86100000 PA USD 3617676.81000000 0.012533481676 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 0.03500000 N N N N N N EG GLOBAL FINANCE PLC 549300TL8Q5207VYET27 28228PAA9 4525000.00000000 PA USD 4423187.50000000 0.015324182449 Long DBT CORP GB N 2 2025-02-07 Fixed 0.06750000 N N N N N N LIBERT STREET TRUST N/A 902055AG7 375000.00000000 PA USD 419198.63000000 0.001452318331 Long ABS-MBS CORP US N 2 2036-02-10 Variable 0.04648500 N N N N N N SAUDI ARABIAN OIL COMPANY 5586006WD91QHB7J4X50 80414L2D6 3890000.00000000 PA USD 4129478.13000000 0.014306623060 Long DBT CORP SA N 2 2029-04-16 Fixed 0.03500000 N N N N N N COMM 2014-UBS2 MTG TR N/A 12591UAP8 994000.00000000 PA USD 969001.20000000 0.003357115469 Long ABS-MBS CORP US N 2 2047-03-10 Variable 0.05002302 N N N N N N BAHAMAS COMWLTH 549300W13SXC7EKNJC20 056732AJ9 373000.00000000 PA USD 424637.19000000 0.001471160283 Long DBT NUSS BS N 2 2028-11-21 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMEJ7 18799.61270000 PA USD 20725.40000000 0.000071803379 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408FYD5 1869.85950000 PA USD 2224.47000000 0.000007706701 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.06500000 N N N N N N MYLAN NV 549300A0CD4KNFGIIS89 62854AAM6 13528000.00000000 PA USD 13743462.08000000 0.047614377732 Long DBT CORP NL N 2 2021-06-15 Fixed 0.03150000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NY4L6 1078505.63980000 PA USD 1115889.34000000 0.003866011070 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312972P63 123.38980000 PA USD 123.84000000 0.000000429045 Long ABS-MBS USGSE US N 2 2020-07-01 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203RHS1 176.31890000 PA USD 184.43000000 0.000000638959 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.08000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P76T5 1535870.45870000 PA USD 1622557.75000000 0.005621369430 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMPR7 7722.54840000 PA USD 8602.16000000 0.000029802279 Long ABS-MBS USGA US N 2 2040-11-15 Fixed 0.05000000 N N N N N N TIME WARNER CABLE INC B1WXCWLJVJXMWJX6O298 88732JAJ7 29622000.00000000 PA USD 38589366.75000000 0.133693291703 Long DBT CORP US N 2 2037-05-01 Fixed 0.06550000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 13533000.00000000 PA 15516429.85000000 0.053756844355 Long DBT CORP CH N 2 2026-02-12 Variable 0.04750000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828YB0 1235180000.00000000 PA USD 1289556872.62000000 4.467684174684 Long DBT UST US N 2 2029-08-15 Fixed 0.01625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224HDW3 89.95050000 PA USD 93.36000000 0.000000323446 Long ABS-MBS USGA US N 2 2022-07-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206RE44 495.48480000 PA USD 552.39000000 0.000001913761 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200MUB7 6090.41680000 PA USD 6867.18000000 0.000023791421 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376ABH0 180.12610000 PA USD 203.60000000 0.000000705374 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283G6V4 131.96330000 PA USD 150.13000000 0.000000520127 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FBT8 30.96760000 PA USD 34.07000000 0.000000118035 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378JD53 329.97360000 PA USD 371.16000000 0.000001285887 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 0.07500000 N N N N N N WFRBS COML MTG TR 2012-C7 N/A 92936TAK8 2074312.00000000 PA USD 1527915.82000000 0.005293481407 Long ABS-MBS CORP US N 2 2045-06-15 Variable 0.04812786 N N N N N N HOWARD HUGHES CORP 549300BVHY25JZC1KI49 44267DAB3 7035000.00000000 PA USD 7120827.00000000 0.024670184599 Long DBT CORP US N 2 2025-03-15 Fixed 0.05375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178GFQ2 36492.43730000 PA USD 38789.90000000 0.000134388041 Long ABS-MBS USGA US N 2 2042-07-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P8DW8 2036669.17100000 PA USD 2126156.14000000 0.007366091671 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FPG5 451176.73240000 PA USD 493872.67000000 0.001711027376 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 0.04500000 N N N N N N ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP N/A 451102BU0 5425000.00000000 PA USD 5533500.00000000 0.019170872495 Long DBT CORP US N 2 2024-09-15 Fixed 0.04750000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136A8PY0 2232908.66680000 PA USD 165263.15000000 0.000572556027 Long ABS-CBDO USGSE US N 2 2027-09-25 Fixed 0.03000000 N N N N N N AERCAP HOLDINGS NV 549300SZYINBBLJQU475 00774YAA7 14005000.00000000 PA USD 14215075.00000000 0.049248285956 Long EP CORP NL N 2 N N N ROYAL BANK OF SCOTLAND GRP PLC (UNGTD) 2138005O9XJIJN4JPN90 780097AZ4 62524000.00000000 PA USD 70101668.08000000 0.242868011291 Long DBT CORP GB N 2 2023-12-19 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293SCX5 673.49820000 PA USD 760.37000000 0.000002634310 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 0.06000000 N N N N N N 1MDB GLOBAL INVESTMENTS LTD N/A N/A 7800000.00000000 PA USD 7586719.14000000 0.026284273116 Long DBT CORP VG N 2 2023-03-09 Fixed 0.04400000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9BS9 4722921.16000000 PA USD 5225006.88000000 0.018102094638 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J85B2 88806.27770000 PA USD 93930.49000000 0.000325423230 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208GRB6 1620.95970000 PA USD 1833.93000000 0.000006353670 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N RCI BANQUE S A 96950001WI712W7PQG45 N/A 3780000.00000000 PA 4067940.04000000 0.014093423660 Long DBT CORP FR N 2 2027-01-15 Fixed 0.01125000 N N N N N N USIS MERGER SUB INC N/A 91739VAA6 6765000.00000000 PA USD 6733745.70000000 0.023329137116 Long DBT CORP US N 2 2025-05-01 Fixed 0.06875000 N N N N N N PROVINCE CORDOBA 5299006CLM2Z97AATT29 74408DAC8 5117000.00000000 PA USD 3850542.50000000 0.013340247457 Long DBT CORP AR N 2 2021-06-10 Fixed 0.07125000 N N N N N N BX TR 2018-IND N/A 12433WAG6 6299989.74600000 PA USD 6302419.02000000 0.021834801020 Long ABS-MBS CORP US N 2 2037-09-15 Variable 0.04283500 N N N N N N CALLAWAY GOLF CO 5493005UB0KFRKBPCU72 13119DAF9 1283400.00000000 PA USD 1276983.00000000 0.004424121852 Long LON CORP US N 2 2026-01-04 Variable 0.06152750 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136AQCV0 2789208.69600000 PA USD 2944364.01000000 0.010200781967 Long ABS-CBDO USGSE US N 2 2045-10-25 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290SHV6 88844.92960000 PA USD 98338.69000000 0.000340695488 Long ABS-MBS USGA US N 2 2033-09-15 Fixed 0.05000000 N N N N N N BRIXMOR OPERATING PARTNERSHIP LP 549300CJHBL7JBUA6503 11120VAD5 16257000.00000000 PA USD 17097644.11000000 0.059234978802 Long DBT CORP US N 2 2023-09-15 Fixed 0.03250000 N N N N N N GS MTG SECS TR 2011-GC3 N/A 36248FAQ5 323000.00000000 PA USD 334200.90000000 0.001157842747 Long ABS-MBS CORP US N 2 2044-03-10 Variable 0.05636302 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W3QM8 100224.15860000 PA USD 107493.04000000 0.000372410836 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128283P3 394208100.00000000 PA USD 418692120.68000000 1.450563524062 Long DBT UST US N 2 2024-12-31 Fixed 0.02250000 N N N N N N DUQUESNE LIGHT HLDGS INC 4CUJ1D8WDXK9X7QI6B93 266233AD7 18694000.00000000 PA USD 19943246.93000000 0.069093601525 Long DBT CORP US N 2 2021-12-01 Fixed 0.05900000 N N N N N N ENSEMBLE RCM LLC N/A 29359BAB7 1745625.00000000 PA USD 1733981.68000000 0.006007398878 Long LON CORP US N 2 2026-08-01 Variable 0.05513250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407BNL9 4083.09500000 PA USD 4597.95000000 0.000015929649 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQ6N8 475943.79080000 PA USD 531046.94000000 0.001839818049 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176LL94 25307.05410000 PA USD 27496.38000000 0.000095261515 Long ABS-MBS USGA US N 2 2041-07-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36292MEX6 49051.77740000 PA USD 54000.68000000 0.000187085958 Long ABS-MBS USGA US N 2 2036-03-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297RYP6 1106.73200000 PA USD 1244.60000000 0.000004311930 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205W3C8 542.16900000 PA USD 588.53000000 0.000002038968 Long ABS-MBS USGA US N 2 2024-07-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M8UV4 3913949.85060000 PA USD 4403049.55000000 0.015254414297 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.05000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377RBW4 3619000.00000000 PA USD 4409666.45000000 0.015277338621 Long ABS-CBDO USGA US N 2 2040-12-20 Variable 0.06706000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HHR7 147.13860000 PA USD 156.99000000 0.000000543893 Long ABS-MBS USGSE US N 2 2023-09-01 Fixed 0.07000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375UKG4 5310211.14570000 PA USD 5314798.11000000 0.018413177357 Long ABS-CBDO USGA US N 2 2064-06-20 Variable 0.02234380 N N N N N N TELENET FINANCE LUXEMBOURG NOTES SARL 2138007RI9GLJPCC3E25 N/A 7200000.00000000 PA USD 7596000.00000000 0.026316426759 Long DBT CORP LU N 2 2028-03-01 Fixed 0.05500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BLZ3 1249623.19300000 PA USD 1250756.23000000 0.004333258915 Long ABS-CBDO USGA US N 2 2061-05-20 Variable 0.02234380 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128282N9 222547000.00000000 PA USD 234126398.59000000 0.811133520409 Long DBT UST US N 2 2024-07-31 Fixed 0.02125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417ECH2 17699.10020000 PA USD 18756.02000000 0.000064980440 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406ETC8 1546.85360000 PA USD 1702.12000000 0.000005897013 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200NKA8 1703.22030000 PA USD 1916.52000000 0.000006639804 Long ABS-MBS USGA US N 2 2034-04-15 Fixed 0.05500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208YF79 397.60010000 PA USD 451.83000000 0.000001565370 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407HAK2 1287.22850000 PA USD 1511.37000000 0.000005236158 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WN2K7 17793839.65700000 PA USD 19265479.17000000 0.066745467557 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFCG0 7454.12580000 PA USD 8297.10000000 0.000028745395 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N BX COML MTG TR 2019 N/A 05608FAA9 5594000.00000000 PA USD 5595749.24000000 0.019386535682 Long ABS-MBS CORP US N 2 2032-11-15 Variable 0.02534500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404DJ58 21310.54250000 PA USD 22725.36000000 0.000078732263 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 0.06500000 N N N N N N GEMS MENASA CAYMAN LTD 213800KB2HCLUSOQ2G49 N/A 2605983.53900000 PA USD 2609371.32000000 0.009040196054 Long LON CORP KY N 2 2026-07-30 Variable 0.06613250 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M5J43 72850.95730000 PA USD 86474.21000000 0.000299590865 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FJQ0 24414.68350000 PA USD 26755.62000000 0.000092695144 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31329P6E8 746201.59700000 PA USD 798246.02000000 0.002765532243 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223VVX1 142.95680000 PA USD 149.22000000 0.000000516974 Long ABS-MBS USGA US N 2 2022-02-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M4MC6 48538.62000000 PA USD 52537.84000000 0.000182017932 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N TRICON AMERN HOMES 2016-SFR1 TR N/A 89613BAF4 807000.00000000 PA USD 827608.68000000 0.002867259506 Long ABS-CBDO CORP US N 2 2033-11-17 Fixed 0.05769000 N N N N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAD9 15927000.00000000 PA USD 17141138.62000000 0.059385666018 Long DBT CORP US N 2 2024-05-01 Fixed 0.03750000 N N N N N N TABERNA PFD FDG III LTD/TABERN A PFD FDG III INC U03UUQ0VYFBPHFC9G558 87330WAJ6 342945.24980000 PA USD 25.72000000 0.000000089107 Long ABS-CBDO CORP KY N 3 2036-02-05 Variable 0.04540500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208FUF5 2157.24510000 PA USD 2409.16000000 0.000008346561 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615MN3 39.49120000 PA USD 42.01000000 0.000000145544 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 0.07000000 N N N N N N GS MORTGAGE SECURITIES TRUST 54930070360RBP384M53 36252SAA5 446000.00000000 PA USD 420865.31000000 0.001458092562 Long ABS-MBS CORP US N 2 2052-02-10 Fixed 0.03000000 N N N N N N MGM GROWTH PPTYS OPER PARTNERSHIP LP / MGP FIN CO-ISSUER INC N/A 55303XAB1 10728000.00000000 PA USD 11103480.00000000 0.038468130357 Long DBT CORP US N 2 2026-09-01 Fixed 0.04500000 N N N N N N STAPLES INC XQM2JINI1UL7642TU573 855031AQ3 2977500.00000000 PA USD 2882964.38000000 0.009988062264 Long LON CORP US N 2 2026-04-16 Variable 0.06655000 N N N N N N ARCONIC ROLLED PRODUCTS CORP 549300B4YFWH3U74B152 N/A 1490000.00000000 PA USD 1471375.00000000 0.005097595105 Long LON CORP US N 2 2027-02-04 Variable 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FGC0 655.86290000 PA USD 724.07000000 0.000002508548 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BER9 376815.93490000 PA USD 375243.48000000 0.001300035223 Long ABS-CBDO USGA US N 2 2060-09-20 Variable 0.02034380 N N N N N N BELLRING BRANDS INC N/A 07982EAB2 2250000.00000000 PA USD 2261250.00000000 0.007834125857 Long LON CORP US N 2 2024-10-10 Variable 0.06603380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GUKS2 170516.03000000 PA USD 182116.22000000 0.000630943676 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417DU50 1093745.44500000 PA USD 1159059.88000000 0.004015575887 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GPS3 11120.50790000 PA USD 12456.65000000 0.000043156202 Long ABS-MBS USGA US N 2 2040-09-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385JJF6 25918.54260000 PA USD 30014.63000000 0.000103986020 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203BEK6 908.02320000 PA USD 973.78000000 0.000003373671 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293MG89 27.55700000 PA USD 27.63000000 0.000000095724 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31388EY34 122.63700000 PA USD 132.39000000 0.000000458666 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292SBG4 17279.25010000 PA USD 18416.96000000 0.000063805763 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374F2P3 310.91570000 PA USD 350.66000000 0.000001214865 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKCP8 210970.90990000 PA USD 229051.79000000 0.000793552482 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419BHZ1 69780.56800000 PA USD 75837.31000000 0.000262739206 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208Y5J4 391.45360000 PA USD 445.95000000 0.000001544998 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N CLUB 2019-HP1 A N/A 21055MAA9 9208657.40000000 PA USD 9287496.40000000 0.032176634912 Long ABS-CBDO CORP US N 2 2026-12-15 Fixed 0.02590000 N N N N N N CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 549300PXR5FKNXF0OH19 225433AD3 12394000.00000000 PA USD 12400568.82000000 0.042961909048 Long DBT CORP GG N 2 2020-03-26 Fixed 0.02750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207KHW3 559.02680000 PA USD 631.42000000 0.000002187561 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M5GP9 324016.73810000 PA USD 374491.58000000 0.001297430257 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FNS7 282.95640000 PA USD 319.87000000 0.000001108193 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J4AV1 1953202.21590000 PA USD 2095743.79000000 0.007260727745 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179M2P4 267416.91810000 PA USD 280946.34000000 0.000973341729 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 0.03000000 N N N N N N BAT INTL FIN PLC 21380041YBGOQDFAC823 05530QAK6 3070000.00000000 PA USD 3325129.10000000 0.011519946870 Long DBT CORP GB N 2 2025-06-15 Fixed 0.03950000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMW33 566201.09000000 PA USD 583230.15000000 0.002020607362 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292GZX7 299.02610000 PA USD 339.32000000 0.000001175577 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 0.06000000 N N N N N N AMERICAN CAMPUS CMNTYS OP PRTNRSHP LP RDKVCX5HITZ2GPIR7153 024836AA6 2224000.00000000 PA USD 2367014.23000000 0.008200547212 Long DBT CORP US N 2 2023-04-15 Fixed 0.03750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EBP66 66240.97330000 PA USD 71918.04000000 0.000249160852 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193EFV7 2865971.52930000 PA USD 3056444.57000000 0.010589086318 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417SBL3 2466013.47000000 PA USD 2732794.95000000 0.009467798598 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208GSB5 526.16870000 PA USD 594.84000000 0.000002060829 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292HP40 5592.40790000 PA USD 6483.12000000 0.000022460841 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212CDM0 1765.31740000 PA USD 2046.49000000 0.000007090087 Long ABS-MBS USGA US N 2 2031-06-15 Fixed 0.07000000 N N N N N N MGM GROWTH PPTYS OPER PARTNERSHIP LP / MGP FIN CO-ISSUER INC N/A 55303XAF2 3959000.00000000 PA USD 4057975.00000000 0.014058899668 Long DBT CORP US N 2 2028-01-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207MLF1 692.58630000 PA USD 791.65000000 0.000002742680 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205GFQ9 1386.31480000 PA USD 1489.03000000 0.000005158761 Long ABS-MBS USGA US N 2 2024-06-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q95S8 4631733.09300000 PA USD 5191362.24000000 0.017985532408 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 0.05500000 N N N N N N UNITED KINGDOM,G.B. and N.IRELAND ECTRVYYCEF89VWYS6K36 N/A 21672.00000000 PA 42530.53000000 0.000147347495 Long DBT NUSS GB N 2 2036-03-07 Fixed 0.04250000 N N N N N N POSCO 988400E5HRVX81AYLM04 693483AH2 725000.00000000 PA USD 733563.62000000 0.002541439346 Long DBT CORP KR N 2 2025-01-17 Fixed 0.02500000 N N N N N N COMMERCIAL MORTGAGE CD 2016-CD2 MTG TR N/A 12515AAN0 546000.00000000 PA USD 501399.66000000 0.001737104716 Long ABS-MBS CORP US N 2 2049-11-10 Variable 0.02777613 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9SH5 6703.30580000 PA USD 7485.68000000 0.000025934221 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JNVR5 53262.49030000 PA USD 57717.50000000 0.000199962922 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208WGZ0 217.31890000 PA USD 246.75000000 0.000000854868 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N INTELSAT JACKSON HLDGS S A 8XJ8KF85PBKK1TLMFN29 45824TBA2 4545000.00000000 PA USD 3923834.85000000 0.013594169621 Long DBT CORP LU N 2 2024-10-15 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210Q2F8 1861.00310000 PA USD 2120.10000000 0.000007345110 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QPGW8 93646.05150000 PA USD 101156.93000000 0.000350459312 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 0.04000000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NAY4 3880000.00000000 PA USD 3870804.40000000 0.013410445036 Long DBT CORP US N 2 2022-08-01 Fixed 0.03875000 N N N N N N STILLWATER MINING COMPANY 6354007DPCY4ZN2MRR73 86074QAM4 3687000.00000000 PA USD 3765348.75000000 0.013045092759 Long DBT CORP US N 2 2022-06-27 Fixed 0.06125000 N N N N N N NAFTOGAZ OF UKRAINE JSC N/A 50050MAB1 450000.00000000 PA USD 469912.50000000 0.001628017099 Long DBT CORP UA N 2 2026-11-08 Fixed 0.07625000 N N N N N N JPMBB COML MTG SECS TR 2015-C32 N/A 46590JBC0 1942000.00000000 PA USD 2104060.09000000 0.007289539659 Long ABS-MBS CORP US N 2 2048-11-15 Variable 0.04655906 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2014-DSTY N/A 46642MAL2 945000.00000000 PA USD 660470.42000000 0.002288207139 Long ABS-MBS CORP US N 2 2027-06-10 Variable 0.03804600 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9VK4 13676.92710000 PA USD 15095.05000000 0.000052296969 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412QBF5 8283.97300000 PA USD 9180.16000000 0.000031804766 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201DAV4 1015.51640000 PA USD 1183.80000000 0.000004101288 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 0.07000000 N N N N N N BX TRUST 2019 N/A 05608BAA8 19667000.00000000 PA USD 19655119.17000000 0.068095379685 Long ABS-MBS CORP US N 2 2034-04-15 Variable 0.02658500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207HNQ6 237.06400000 PA USD 269.89000000 0.000000935036 Long ABS-MBS USGA US N 2 2027-05-15 Fixed 0.07500000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 91911KAP7 618000.00000000 PA USD 688118.28000000 0.002383993459 Long DBT CORP CA N 2 2025-12-15 Fixed 0.09000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379V3J6 1824.43300000 PA USD 2102.85000000 0.000007285347 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 0.07500000 N N N N N N FILTRATION GROUP CORP N/A 31732FAM8 2583545.38300000 PA USD 2562231.13000000 0.008876878340 Long LON CORP US N 2 2025-03-29 Variable 0.04603380 N N N N N N AMERICAN INTERNATIONAL GROUP INC ODVCVCQG2BP6VHV36M30 026874DC8 12130000.00000000 PA USD 13839330.61000000 0.047946515324 Long DBT CORP US N 2 2035-01-15 Fixed 0.03875000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31396HSG5 366989.27810000 PA USD 341621.58000000 0.001183551775 Long ABS-CBDO USGSE US N 2 2036-02-15 Fixed 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31388QUW7 11494.12470000 PA USD 13574.23000000 0.000047028071 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 0.07000000 N N N N N N REALOGY GROUP LLC N/A 75605NAQ3 139091.73000000 PA USD 133180.33000000 0.000461404739 Long LON CORP US N 2 2025-02-08 Variable 0.03895250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203MHQ6 139.74040000 PA USD 150.33000000 0.000000520819 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N MORGAN STANLEY CAP I TR 2017-CLS N/A 61691LAQ2 822000.00000000 PA USD 823319.31000000 0.002852398936 Long ABS-MBS CORP US N 2 2034-11-15 Variable 0.04258500 N N N N N N CGDB COML MTG TR 2017-BIO N/A 125284AC3 2800000.00000000 PA USD 2794727.32000000 0.009682363985 Long ABS-MBS CORP US N 2 2036-11-15 Variable 0.02908500 N N N N N N CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 549300PXR5FKNXF0OH19 225433AC5 12391000.00000000 PA USD 13395726.84000000 0.046409645113 Long DBT CORP GG N 2 2025-03-26 Fixed 0.03750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224YPL7 401.50970000 PA USD 425.74000000 0.000001474980 Long ABS-MBS USGA US N 2 2023-02-15 Fixed 0.07500000 N N N N N N DANONE 969500KMUQ2B6CBAF162 N/A 6300000.00000000 PA 6989659.40000000 0.024215752985 Long EP CORP FR N 2 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61761JZN2 2007000.00000000 PA USD 2209458.37000000 0.007654693177 Long DBT CORP US N 2 2027-04-23 Fixed 0.03950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J82T9 6483232.60400000 PA USD 7172454.04000000 0.024849047055 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04500000 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NAK5 28700000.00000000 PA USD 35393738.31000000 0.122622001315 Long DBT CORP NL N 2 2044-03-17 Fixed 0.07250000 N N N N N N ITAU UNIBANCO HOLDING SA CAYMAN ISLAND BRANCH BZO2P8KHO2O10H5QQ663 46556LAH7 736000.00000000 PA USD 780160.00000000 0.002702873025 Long EP CORP KY N 2 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204CFX4 518.92120000 PA USD 559.94000000 0.000001939918 Long ABS-MBS USGA US N 2 2023-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176PQQ2 414963.66730000 PA USD 449954.61000000 0.001558872767 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QRJD3 289805.57840000 PA USD 306708.78000000 0.001062595990 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38378WVW0 412006.36070000 PA USD 425721.19000000 0.001474915813 Long ABS-CBDO USGA US N 2 2039-04-20 Variable 0.06470670 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407WSB0 8797.73920000 PA USD 9136.99000000 0.000031655203 Long ABS-MBS USGSE US N 2 2035-03-01 Variable 0.03553000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212DNA3 1612.76980000 PA USD 1860.91000000 0.000006447143 Long ABS-MBS USGA US N 2 2031-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407N3N1 441.75450000 PA USD 516.07000000 0.000001787930 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06500000 N N N N N N AASET 2019-2 TR N/A 00038RAB2 4192860.00000000 PA USD 4243085.01000000 0.014700215363 Long ABS-CBDO CORP US N 2 2039-10-16 Fixed 0.04458000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208NWL3 1008.00740000 PA USD 1130.13000000 0.000003915347 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JWBD1 2374008.68400000 PA USD 2531027.99000000 0.008768774713 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 0.03500000 N N N N N N ESSEX PORTFOLIO LP 5493003GN3O58H286O74 29717PAN7 5607000.00000000 PA USD 6105270.04000000 0.021151776179 Long DBT CORP US N 2 2024-05-01 Fixed 0.03875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378JXK8 313.45320000 PA USD 353.85000000 0.000001225917 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828Z52 450000000.00000000 PA USD 459791014.50000000 1.592951100303 Long DBT UST US N 2 2025-01-31 Fixed 0.01375000 N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J6V50 60922.19440000 PA USD 64608.81000000 0.000223837943 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N ALPHA TRAINS FINANCE SA 529900FR0E130P05IY43 N/A 4151000.00000000 PA 4860608.14000000 0.016839631138 Long DBT CORP LU N 2 2030-06-30 Fixed 0.02064000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378D6Z8 704.15800000 PA USD 792.12000000 0.000002744308 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.07500000 N N N N N N TC ZIRAAT BANKASI AS 213800K5KTZFSUS8MR51 90015JAA0 1330000.00000000 PA USD 1305893.75000000 0.004524283468 Long DBT CORP TR N 2 2022-05-03 Fixed 0.05125000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38376RGD2 1766431.81270000 PA USD 1769100.18000000 0.006129067314 Long ABS-CBDO USGA US N 2 2065-06-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E5VC9 94125.47360000 PA USD 102538.67000000 0.000355246366 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M7QW1 14024.16470000 PA USD 15337.97000000 0.000053138568 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200X4K2 467.99710000 PA USD 545.55000000 0.000001890064 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N CAMELOT FIN S A N/A 13323AAB6 4300000.00000000 PA USD 4321070.00000000 0.014970395231 Long DBT CORP LU N 2 2026-11-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209ANH9 415.70170000 PA USD 469.95000000 0.000001628147 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312941XC6 15269.66400000 PA USD 16900.56000000 0.000058552178 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N NEP / NCP HOLDCO INC 549300BO7Q7O3MZSST19 62908HAB1 478000.00000000 PA USD 420640.00000000 0.001457311973 Long LON CORP US N 2 2026-10-19 Variable 0.08603380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BNW2 31832924.20700000 PA USD 33988172.34000000 0.117752402328 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410LUR1 67906.17600000 PA USD 73300.19000000 0.000253949326 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208MZX6 142.93390000 PA USD 162.89000000 0.000000564334 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N SURF HOLDINGS SARL N/A N/A 975000.00000000 PA USD 959156.25000000 0.003323007530 Long LON CORP LU N 2 2027-02-25 Variable 0.00000000 N N N N N N HEXION INC 54930030FZF8HYAEHM46 42829HAF0 1174100.00000000 PA USD 1156488.50000000 0.004006667312 Long LON CORP US N 2 2026-07-01 Variable 0.05410000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PEB0 575000.00000000 PA USD 607523.44000000 0.002104771736 Long DBT NUSS DO N 2 2049-06-05 Fixed 0.06400000 N N N N N N ZIGGO BV 213800TQASLF9JXH5J59 98954NAA7 7646000.00000000 PA USD 7875685.84000000 0.027285401473 Long DBT CORP NL N 2 2027-01-15 Fixed 0.05500000 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAU0 2120000.00000000 PA USD 2304864.00000000 0.007985227046 Long DBT CORP US N 2 2029-11-15 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407CW86 750.35110000 PA USD 877.55000000 0.000003040281 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212WZA8 659.37460000 PA USD 735.64000000 0.000002548632 Long ABS-MBS USGA US N 2 2031-02-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223YEJ5 144.35170000 PA USD 147.24000000 0.000000510114 Long ABS-MBS USGA US N 2 2022-10-15 Fixed 0.07500000 N N N N N N HOME PARTNERS AMER 2019-1 TR N/A 43731QAL2 114341.23000000 PA USD 114041.72000000 0.000395098811 Long ABS-MBS CORP US N 2 2039-09-17 Fixed 0.04101000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412RL54 32628.61420000 PA USD 35475.97000000 0.000122906893 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9LL4 1803771.24960000 PA USD 1924790.59000000 0.006668458476 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0XX1 487135.96380000 PA USD 537036.91000000 0.001860570367 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HMSH5 32357.24120000 PA USD 34720.29000000 0.000120288832 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N AVOLON HLDGS FDG LTD 635400ZRKEX9L1BKCH30 05401AAD3 13457000.00000000 PA USD 14692911.60000000 0.050903756188 Long DBT CORP KY N 2 2024-05-15 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31387WL54 562.41230000 PA USD 659.55000000 0.000002285018 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 0.07000000 N N N N N N LONDON CLEARING HOUSE N/A N/A 304121000.00000000 NC USD 4249978.83000000 0.014724099079 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2022-03-18 0.00000000 USD 0.00000000 USD 304944881.66000000 USD 4249978.83000000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GEU9 574000.00000000 PA USD 600118.21000000 0.002079116234 Long DBT CORP US N 2 2023-01-11 Fixed 0.03300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NYAN5 191616.44620000 PA USD 202520.15000000 0.000701633319 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 6050000.00000000 NC 250838.69000000 0.000869033440 N/A DCR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 COMMERZBANK AG COMMERZBANK AG EMTN 7.75% 3/21 Y 2024-12-20 231415.39000000 EUR 0.00000000 EUR 6050000.00000000 EUR 17182.92000000 N N N FHLMC MFD HSG COP GTD (FREDMAC N/A 3133TDZM1 105156.25670000 PA USD 116556.68000000 0.000403811918 Long ABS-CBDO USGSE US N 2 2028-05-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BEU6 2821387.96300000 PA USD 3113031.73000000 0.010785133165 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137A7NX4 1045000.00000000 PA USD 13977.82000000 0.000048426313 Long ABS-MBS USGSE US N 2 2043-12-25 Variable 0.02573558 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J8DV9 96830.98710000 PA USD 102630.05000000 0.000355562953 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209MMD3 2509.11250000 PA USD 2860.74000000 0.000009911065 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.07000000 N N N N N N DOLPHIN SUBSIDIARY II INC N/A 256882AD3 27409000.00000000 PA USD 28368315.00000000 0.098282343864 Long DBT CORP US N 2 2021-10-15 Fixed 0.07250000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AM6 1714000.00000000 PA USD 1783665.53000000 0.006179529131 Long DBT CORP US N 2 2027-03-01 Fixed 0.05750000 N N N N N N MORGAN STANLY DEAN WTR CAPI TR N/A 61746WHM5 69750.18970000 PA USD 72425.25000000 0.000250918086 Long ABS-MBS CORP US N 2 2033-07-15 Variable 0.07652804 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297AF73 227191.65890000 PA USD 247130.09000000 0.000856184954 Long ABS-MBS USGA US N 2 2040-10-15 Fixed 0.04000000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 02156LAA9 13501000.00000000 PA USD 14713119.78000000 0.050973767653 Long DBT CORP FR N 2 2027-02-01 Fixed 0.08125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402T7G4 64468.62460000 PA USD 70565.78000000 0.000244475932 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GCK4 50987.45780000 PA USD 56210.48000000 0.000194741835 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N BANCO MACRO SA 579100KKDKKIFEBKK040 05963GAH1 2335000.00000000 PA USD 1961400.00000000 0.006795292186 Long DBT CORP AR N 2 2026-11-04 Variable 0.06750000 N N N N N N FRONTIER COMMUNICATIONS CORP 549300ZCZ76HYCS0H445 35906EAJ9 14350640.04500000 PA USD 14374605.61000000 0.049800981534 Long LON CORP US N 2 2024-06-15 Variable 0.05350060 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416BMW5 274744.52140000 PA USD 325228.09000000 0.001126756346 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213GWG2 2373.69810000 PA USD 2761.10000000 0.000009565861 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNCD9 35283.00860000 PA USD 38300.32000000 0.000132691886 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213PSP7 1658.35500000 PA USD 1840.71000000 0.000006377160 Long ABS-MBS USGA US N 2 2031-06-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224ARJ2 93.35640000 PA USD 97.83000000 0.000000338933 Long ABS-MBS USGA US N 2 2022-03-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179DLT5 19134.11640000 PA USD 20200.02000000 0.000069983194 Long ABS-MBS USGA US N 2 2043-01-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419AXD4 243057.42800000 PA USD 268896.45000000 0.000931594751 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N BERLIN PACKAGING LLC 549300L1HNHO6QOXHH42 08511LAQ1 5228948.07000000 PA USD 4941355.93000000 0.017119382757 Long LON CORP US N 2 2025-11-07 Variable 0.04664610 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224QTD8 347.87830000 PA USD 370.09000000 0.000001282180 Long ABS-MBS USGA US N 2 2023-01-15 Fixed 0.07500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 9128286R6 676960000.00000000 PA USD 713716815.88000000 2.472679872609 Long DBT UST US N 2 2024-04-30 Fixed 0.02250000 N N N N N N LANNETT COMPANY INC 5299001DJ6C90XX17G45 51602EAC8 52110.29000000 PA USD 51484.97000000 0.000178370253 Long LON CORP US N 2 2020-11-25 Variable 0.06603380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307VFK7 173606.04700000 PA USD 178827.42000000 0.000619549592 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205XVQ4 75.20710000 PA USD 81.74000000 0.000000283189 Long ABS-MBS USGA US N 2 2024-07-15 Fixed 0.08000000 N N N N N N JPMBB COML MTG SECS TR 2014-C19 N/A 46641WAX5 7946441.07500000 PA USD 163162.69000000 0.000565278960 Long ABS-MBS CORP US N 2 2047-04-15 Variable 0.00750493 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HJ53 1587.70680000 PA USD 1803.04000000 0.000006246652 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.07500000 N N N N N N BX TR 2018-IND N/A 056059AU2 359099.99000000 PA USD 358883.92000000 0.001243357345 Long ABS-MBS CORP US N 2 2035-11-15 Variable 0.04658500 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QBG6 1850000.00000000 PA USD 1850000.00000000 0.006409345643 Long DBT CORP MX N 2 2023-01-30 Fixed 0.03500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137AJAX2 220214.62280000 PA USD 3911.19000000 0.000013550361 Long ABS-CBDO USGSE US N 2 2021-11-15 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMVR1 38135.50500000 PA USD 39673.10000000 0.000137447897 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 0.03000000 N N N N N N MORGAN STANLEY CAP I INC N/A 61745MHW6 16483.07980000 PA USD 16660.60000000 0.000057720834 Long ABS-MBS CORP US N 2 2032-07-15 Variable 0.07350000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210AMQ7 233.24530000 PA USD 263.92000000 0.000000914353 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407HAS5 2122.10310000 PA USD 2501.18000000 0.000008665366 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J82L3 540445.23430000 PA USD 579913.90000000 0.002009118177 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03500000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GCX6 4625000.00000000 PA USD 4844687.50000000 0.016784473903 Long DBT CORP US N 2 2027-02-01 Fixed 0.06250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402EYN2 40945.49350000 PA USD 44839.86000000 0.000155348195 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N CITIGROUP COML MTG TR 2015-GC29 N/A 17323VBF1 35774296.83330000 PA USD 1620904.77000000 0.005615642662 Long ABS-MBS CORP US N 2 2048-04-10 Variable 0.01077360 N N N N N N HCP INC PZ9HF5U52KPF0MH0QN75 40414LAR0 2351000.00000000 PA USD 2586455.26000000 0.008960803109 Long DBT CORP US N 2 2029-07-15 Fixed 0.03500000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 12000000.00000000 NC USD 31383.96000000 0.000108730079 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2029-04-06 0.00000000 USD 0.00000000 USD 12000000.00000000 USD 1.00000000 2.56750000 USD 2022-04-04 XXXX -302666.04000000 N N N GRACE 2014 GRCE MTG TR N/A 38406HAN2 1219000.00000000 PA USD 1229920.90000000 0.004261074682 Long ABS-MBS CORP US N 2 2028-06-10 Variable 0.03590100 N N N N N N NETFLIX INC 549300Y7VHGU0I7CE873 64110LAX4 1015000.00000000 PA USD 1162276.50000000 0.004026719903 Long DBT CORP US N 2 2029-05-15 Fixed 0.06375000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RGA1 22363921.87300000 PA USD 23947569.33000000 0.082966621162 Long ABS-MBS USGA US N 2 2045-06-20 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376KTJ5 13385.76710000 PA USD 15751.04000000 0.000054569653 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06000000 N N N N N N JBS INVESTMENTS II GMBH 529900V1Q46CPWIWT649 46650CAA7 1192000.00000000 PA USD 1272460.00000000 0.004408451868 Long DBT CORP AT N 2 2026-01-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AABL1 35468.53860000 PA USD 38581.27000000 0.000133665240 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178MST9 49300.14610000 PA USD 52161.29000000 0.000180713371 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 0.03500000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RCS9 26826000.00000000 PA USD 28252143.93000000 0.097879867896 Long DBT CORP US N 2 2023-02-17 Fixed 0.03600000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MDV6 1659.19090000 PA USD 1957.99000000 0.000006783478 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376KHK5 109850.82840000 PA USD 127989.39000000 0.000443420669 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 0.06000000 N N N N N N STAPLES INC XQM2JINI1UL7642TU573 855030AP7 750000.00000000 PA USD 717900.00000000 0.002487172560 Long DBT CORP US N 2 2027-04-15 Fixed 0.10750000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 N/A 4350000.00000000 PA 4857321.14000000 0.016828243289 Long DBT CORP GB N 2 2025-11-11 Variable 0.02625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQAZ5 226977.78970000 PA USD 243199.30000000 0.000842566688 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N MKT 2020-525M MTG TR N/A 55316PAN7 819000.00000000 PA USD 787024.11000000 0.002726653811 Long ABS-MBS CORP US N 2 2040-02-12 Variable 0.02940600 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210L3D3 959.06880000 PA USD 1087.09000000 0.000003766235 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 0.07000000 N N N N N N CITGO PETROLEUM CORP YX52P86PXMLYDOTUQ225 17302UAM4 4714375.00000000 PA USD 4690803.13000000 0.016251339786 Long LON CORP US N 2 2024-03-28 Variable 0.06944630 N N N N N N FREMF 2010-K9 MTG TR N/A 30261XAA6 1156000.00000000 PA USD 1172019.04000000 0.004060473042 Long ABS-MBS USGSE US N 2 2045-09-25 Variable 0.05208021 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3133TR4H5 36529.42930000 PA USD 41711.52000000 0.000144510026 Long ABS-CBDO USGSE US N 2 2031-01-15 Fixed 0.06500000 N N N N N N VENTAS RLTY LTD PARTNERSHIP 32SXKSJ72K64GM3HOU64 92277GAU1 28128000.00000000 PA USD 29251299.56000000 0.101341453725 Long DBT CORP US N 2 2030-01-15 Fixed 0.03000000 N N N N N N MEG ENERGY CORP 5493002WXPTG5ZC1T326 552704AC2 2211000.00000000 PA USD 2094922.50000000 0.007257882377 Long DBT CORP CA N 2 2024-03-31 Fixed 0.07000000 N N N N N N SKANDINAVISKA ENSKILDA BANKEN F3JS33DEI6XQ4ZBPTN86 N/A 1100000.00000000 PA USD 1099687.60000000 0.003809879961 Long EP CORP SE N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CVE1 9591005.45000000 PA USD 9946512.37000000 0.034459803093 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416BZZ4 8364.49080000 PA USD 8665.18000000 0.000030020612 Long ABS-MBS USGSE US N 2 2023-12-01 Fixed 0.05500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GEKZ2 28933.89380000 PA USD 31997.09000000 0.000110854275 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N CONSOLIDATED ENERGY FINANCE SA 549300PUNIS0USNSL750 20914UAD8 637000.00000000 PA USD 619801.00000000 0.002147307480 Long DBT CORP LU N 2 2025-06-15 Fixed 0.06875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W9GN4 25643.78180000 PA USD 27095.00000000 0.000093870929 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 0.03000000 N N N N N N BLACKSTONE CQP HOLDCO LP N/A 09259HAB7 4059600.00000000 PA USD 3967244.10000000 0.013744561452 Long LON CORP US N 2 2024-09-30 Variable 0.05408000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DF4 2303000.00000000 PA USD 2413784.30000000 0.008362582641 Long DBT CORP US N 2 2026-08-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374NDU3 980.92240000 PA USD 1066.51000000 0.000003694935 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206ABL6 2249.86760000 PA USD 2502.64000000 0.000008670424 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.08000000 N N N N N N MORGAN STANLEY CAP I TR 2011-C1 N/A 617458AU8 530100.00000000 PA USD 544685.65000000 0.001887069512 Long ABS-MBS CORP US N 2 2047-09-15 Variable 0.05374594 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945T99 78540.56330000 PA USD 86904.65000000 0.000301082129 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379DY78 205.79880000 PA USD 232.62000000 0.000000805914 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211EQK7 241.43760000 PA USD 283.40000000 0.000000981842 Long ABS-MBS USGA US N 2 2029-12-15 Fixed 0.08500000 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 455780CR5 950000.00000000 PA USD 956146.50000000 0.003312580218 Long DBT NUSS ID N 2 2050-02-14 Fixed 0.03500000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 175600000.00000000 NC USD 1421007.88000000 0.004923097656 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S12 PRC INDX CY400081 Y 2061-08-17 2445.89000000 USD 0.00000000 USD 175600000.00000000 USD 1418561.99000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297BF63 89526.64610000 PA USD 97736.71000000 0.000338609922 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SNU7 426810.84470000 PA USD 445470.16000000 0.001543336340 Long ABS-MBS USGA US N 2 2046-10-20 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283GYN1 237.56670000 PA USD 265.94000000 0.000000921352 Long ABS-MBS USGSE US N 2 2027-05-01 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379BHJ5 571.64460000 PA USD 656.25000000 0.000002273585 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N ENABLE MIDSTREAM PARTNERS LP 549300TLGDBYE711G509 292480AH3 2707000.00000000 PA USD 2770124.91000000 0.009597128661 Long DBT CORP US N 2 2024-05-15 Variable 0.03900000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FKL5 73888.02950000 PA USD 81549.29000000 0.000282528425 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J62W3 168322.94770000 PA USD 178508.76000000 0.000618445590 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M5FN7 75063.91870000 PA USD 81248.62000000 0.000281486750 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J9VE8 821392.84400000 PA USD 861849.89000000 0.002985888560 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XUSH9 940037.98600000 PA USD 988713.06000000 0.003425407428 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.03500000 N N N N N N WASH MULTIFAMILY ACQUISITION INC 549300AS7PRY5PHG6L12 93710HAC2 2631366.08200000 PA USD 2598474.01000000 0.009002442202 Long LON CORP US N 2 2022-05-14 Variable 0.04853380 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DPD7 724.04210000 PA USD 830.90000000 0.000002878662 Long ABS-MBS USGA US N 2 2031-08-20 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418MY63 276986.52750000 PA USD 329364.51000000 0.001141087020 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 0.06000000 N N N N N N PROGRESS RESIDENTIAL 2019-SFR3 TR N/A 74332WAL7 546000.00000000 PA USD 563420.57000000 0.001951976851 Long ABS-MBS CORP US N 2 2036-09-17 Fixed 0.03867000 N N N N N N DIGITAL REALTY TRUST LP CD4SPTZ3YBTHY0C1AH38 25389JAK2 5865000.00000000 PA USD 6130142.57000000 0.021237947336 Long DBT CORP US N 2 2022-10-01 Fixed 0.03625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AP3X4 20678.03970000 PA USD 21640.74000000 0.000074974585 Long ABS-MBS USGSE US N 2 2041-09-01 Variable 0.04068000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31372QVA2 59.62730000 PA USD 64.64000000 0.000000223946 Long ABS-MBS USGSE US N 2 2024-05-01 Fixed 0.07000000 N N N N N N DIAMOND SPORTS GROUP LLC N/A 25277BAB4 7860300.00000000 PA USD 7152873.00000000 0.024781208323 Long LON CORP US N 2 2026-08-24 Variable 0.04880000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390G3N5 1114.11020000 PA USD 1311.15000000 0.000004542493 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AY3 3026000.00000000 PA USD 3411815.00000000 0.011820271138 Long DBT CORP US N 2 2028-04-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMFZ0 34514.15620000 PA USD 38510.09000000 0.000133418636 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N SAUDI ARABIA KINGDOM OF 54930044PULMORCKB765 80413TAC3 825000.00000000 PA USD 943387.50000000 0.003268376520 Long DBT NUSS SA N 2 2046-10-26 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375CAV7 231.53340000 PA USD 249.98000000 0.000000866058 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 0.07000000 N N N N N N AVIVA PLC YF0Y5B0IB8SM0ZFG9G81 N/A 3450000.00000000 PA 4455071.50000000 0.015434644923 Long EP CORP GB N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378D4Q0 480.00940000 PA USD 546.88000000 0.000001894671 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402JRK5 74074.57190000 PA USD 81147.91000000 0.000281137839 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N GS MTG SECS TR 2013-GCJ16 N/A 36248GAP5 1161000.00000000 PA USD 1272538.20000000 0.004408722793 Long ABS-MBS CORP US N 2 2046-11-10 Variable 0.05310678 N N N N N N BX TR 2019-OC11 N/A 05606FAN3 1681000.00000000 PA USD 1767510.65000000 0.006123560369 Long ABS-MBS CORP US N 2 2041-12-09 Variable 0.04075457 N N N N N N SCRS ACQUISITION CORP N/A 78410QAE2 3586000.00000000 PA USD 1630733.50000000 0.005649694407 Long LON CORP US N 2 2025-11-01 Variable 0.09853380 N N N N N N COMM 2006 FL12 N/A 12592LBK7 68642768.60000000 PA USD 2810097.66000000 0.009735614699 Long ABS-MBS CORP US N 2 2047-11-10 Variable 0.01027173 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QP5H3 3011762.53500000 PA USD 3212887.74000000 0.011131085426 Long ABS-MBS USGSE US N 2 2045-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207E6C3 74.65530000 PA USD 84.10000000 0.000000291365 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N TOWD PT MTG TR 2018-6 N/A 89176LAA2 21397288.68000000 PA USD 22419308.78000000 0.077671945433 Long ABS-CBDO CORP US N 2 2058-03-25 Fixed 0.03750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206H5L8 321.88530000 PA USD 372.50000000 0.000001290530 Long ABS-MBS USGA US N 2 2030-11-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31294BZ65 109.98340000 PA USD 110.19000000 0.000000381754 Long ABS-MBS USGSE US N 2 2024-09-01 Fixed 0.08500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BM21 429.16420000 PA USD 483.86000000 0.000001676338 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A3F44 10989.06670000 PA USD 12157.30000000 0.000042119101 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208YQR3 1539.19270000 PA USD 1741.60000000 0.000006033792 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N ARES XLI CLO LTD / ARES XLI CLO LLC 549300X38KZ67Q2FQG11 04016DAJ4 25124000.00000000 PA USD 25103900.80000000 0.086972744442 Long ABS-CBDO CORP KY N 2 2029-01-15 Variable 0.03031250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31359PQC3 27933.65150000 PA USD 31871.97000000 0.000110420795 Long ABS-CBDO USGSE US N 2 2027-06-18 Fixed 0.07500000 N N N N N N CLEARWATER PAPER CORP 549300HCVV19GXN4P292 18538YAD0 750000.00000000 PA USD 744375.00000000 0.002578895493 Long LON CORP US N 2 2026-07-26 Variable 0.04937500 N N N N N N COMM 2015-3BP MTG TR N/A 12592TAQ8 1538000.00000000 PA USD 1571271.86000000 0.005443688891 Long ABS-MBS CORP US N 2 2035-02-10 Variable 0.03238400 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAF0 3218000.00000000 PA USD 3374023.89000000 0.011689343415 Long DBT CORP US N 2 2021-08-27 Variable 0.04662000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207KGJ3 474.21730000 PA USD 507.61000000 0.000001758620 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828YH7 35000000.00000000 PA USD 35906445.40000000 0.124398280749 Long DBT UST US N 2 2024-09-30 Fixed 0.01500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201QYB3 670.33190000 PA USD 780.16000000 0.000002702873 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209NZN5 251.36810000 PA USD 281.82000000 0.000000976368 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 0.07000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31339NNM4 18628.96380000 PA USD 18930.70000000 0.000065585621 Long ABS-CBDO USGSE US N 2 2031-06-15 Variable 0.02558500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208LXC6 563.09260000 PA USD 633.11000000 0.000002193416 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128LXBW9 1166.67700000 PA USD 1283.44000000 0.000004446492 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.04500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GFL8 9380000.00000000 PA USD 10472106.27000000 0.036280729025 Long DBT CORP US N 2 2026-10-22 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193NX21 645122.64770000 PA USD 690820.04000000 0.002393353737 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EQPL0 4600115.73500000 PA USD 4994360.37000000 0.017303017231 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A55Z8 148706.81610000 PA USD 164311.72000000 0.000569259787 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A1RP8 19274.03180000 PA USD 20955.99000000 0.000072602261 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N AVSC HOLDING CORP 549300CLJBQ9YSR4U689 00241YAR5 1750000.00000000 PA USD 1645000.00000000 0.005699120855 Long LON CORP US N 2 2026-10-15 Variable 0.06203750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379AWX9 5422.28570000 PA USD 6144.52000000 0.000021287758 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140GUMA2 530048.96500000 PA USD 557559.14000000 0.001931669862 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ASAU3 31405.73910000 PA USD 34924.02000000 0.000120994656 Long ABS-MBS USGA US N 2 2041-03-15 Fixed 0.05000000 N N N N N N SITE CENTERS CORP W2AVA6SODOQ1LCYJQR54 82981J802 21323.00000000 NS USD 519854.74000000 0.001801042547 Long EP CORP US N 1 N N N CHARTER NEX US INC 549300KRNU8RNVGYXG75 16125TAC6 766732.60000000 PA USD 743730.62000000 0.002576663031 Long LON CORP US N 2 2024-05-16 Variable 0.04603380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224TTQ3 91.36210000 PA USD 95.72000000 0.000000331623 Long ABS-MBS USGA US N 2 2022-10-15 Fixed 0.07500000 N N N N N N GS MTG SECS TR 2012-GCJ7 N/A 36192KAY3 1043000.00000000 PA USD 1104141.18000000 0.003825309438 Long ABS-MBS CORP US N 2 2045-05-10 Variable 0.05685561 N N N N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 225401AM0 38976000.00000000 PA USD 39791877.20000000 0.137859402576 Long DBT CORP CH N 2 2025-09-11 Variable 0.02593000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290UCF1 9288.50180000 PA USD 10865.99000000 0.000037645343 Long ABS-MBS USGA US N 2 2037-06-15 Fixed 0.06500000 N N N N N N OXEA CORPORATION 529900MSP24R2FE9U796 N/A 2376466.30000000 PA USD 2353699.75000000 0.008154419047 Long LON CORP US N 2 2024-10-11 Variable 0.05187500 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BM2 1914000.00000000 PA USD 1890075.00000000 0.006548185927 Long DBT CORP CA N 2 2025-03-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402TWQ4 110393.27150000 PA USD 120768.46000000 0.000418403677 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128E37H1 6540.65830000 PA USD 7171.70000000 0.000024846434 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.06500000 N N N N N N EG FINCO LTD 2138003OUK4UQHRJLT65 N/A 1691429.05000000 PA USD 1641396.58000000 0.005686636766 Long LON CORP GB N 2 2025-02-06 Variable 0.05960500 N N N N N N HESS CORP UASVRYNXNK17ULIGK870 42809HAH0 15757000.00000000 PA USD 17451070.84000000 0.060459429652 Long DBT CORP US N 2 2047-04-01 Fixed 0.05800000 N N N N N N THORNBURG MTG SECS TR N/A 885220DW0 2636994.04700000 PA USD 2640926.07000000 0.009149517838 Long ABS-CBDO CORP US N 2 2043-09-25 Variable 0.02266750 N N N N N N UBS-BAMLL TR 2012-WRM N/A 90269PAL5 746000.00000000 PA USD 743750.14000000 0.002576730659 Long ABS-MBS CORP US N 2 2030-06-10 Variable 0.04238000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38378UQY6 8403964.53500000 PA USD 8715245.70000000 0.030194065976 Long ABS-CBDO USGA US N 2 2040-05-20 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390JK26 414.51720000 PA USD 488.87000000 0.000001693695 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07000000 N N N N N N WILLIAMS PARTNERS LP N/A 96950FAM6 26077000.00000000 PA USD 28232862.52000000 0.097813067236 Long DBT CORP US N 2 2024-03-04 Fixed 0.04300000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HJL33 1602610.79600000 PA USD 1664518.37000000 0.005766742466 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 0.03000000 N N N N N N MOODYS CORP 549300GCEDD8YCF5WU84 615369AC9 6892000.00000000 PA USD 7670886.35000000 0.026575871354 Long DBT CORP US N 2 2024-02-15 Fixed 0.04875000 N N N N N N C and W SENIOR FINANCING DESIGNATED ACTIVITY COMPANY 5493009O8OIWZPZRY516 12674TAA4 17295000.00000000 PA USD 18246225.00000000 0.063214250112 Long DBT CORP IE N 2 2027-09-15 Fixed 0.06875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180JA95 68727.50700000 PA USD 71799.54000000 0.000248750307 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179M2Q2 519961.00000000 PA USD 552730.35000000 0.001914940465 Long ABS-MBS USGA US N 2 2043-02-20 Fixed 0.03500000 N N N N N N TEXGEN POWER LLC 5493003XDLS9LCQ3SY55 88289G101 88700.00000000 NS USD 3405193.00000000 0.011797329145 Long EC CORP US N 3 N N N BANK AMER MERRILL LYNCH COML MTG TR 2016-UBS10 N/A 06054MAF0 28516869.36440000 PA USD 2183753.42000000 0.007565638090 Long ABS-MBS CORP US N 2 2049-07-15 Variable 0.01957576 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MC2K9 83059.30630000 PA USD 89892.24000000 0.000311432668 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N MARRIOTT OWNERSHIP RESORTS INC BW4532OH033VURR0IT68 57163KAH1 2058445.00000000 PA USD 2056736.49000000 0.007125586519 Long LON CORP US N 2 2025-08-31 Variable 0.03395250 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -39200000.00000000 NC USD -592939.20000000 -0.00205424447 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-12-12 0.00000000 USD 0.00000000 USD -39200000.00000000 USD 1.00000000 1.90000000 USD 2024-12-10 XXXX 514460.80000000 N N N EXC HOLDINGS III CORP N/A 26929CAF3 478000.00000000 PA USD 458880.00000000 0.001589794880 Long LON CORP US N 2 2025-12-01 Variable 0.09408380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204KVX8 130.56290000 PA USD 148.03000000 0.000000512851 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208VTU9 147.22440000 PA USD 165.84000000 0.000000574554 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EJLK2 340620.12140000 PA USD 404493.31000000 0.001401371586 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.06000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 1550000.00000000 NC -20974.76000000 -0.00007266729 N/A DCR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 STANDARD CHARTERED PLC STANDARD CHARTERED PLC 3.125% 11/19/2024 REGS Y 2021-06-20 40237.30000000 EUR 0.00000000 EUR 1550000.00000000 EUR -62267.83000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403DH36 6987.49930000 PA USD 8231.39000000 0.000028517742 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JPDD1 98942.69810000 PA USD 107218.51000000 0.000371459724 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TZ65 6458134.77100000 PA USD 6847285.18000000 0.023722495911 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A7XD5 77986.11420000 PA USD 84755.07000000 0.000293634885 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FLVU9 287476.63690000 PA USD 305990.48000000 0.001060107432 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 0.03500000 N N N N N N ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC N/A 03969AAL4 14798000.00000000 PA USD 15426915.00000000 0.053446719158 Long DBT CORP IE N 2 2025-02-15 Fixed 0.06000000 N N N N N N IVORY COAST (COTE D'IVOIRE) 254900ICW11T82O6H590 N/A 3073725.00000000 PA USD 2969986.78000000 0.010289552339 Long DBT NUSS CI N 2 2032-12-31 Variable 0.05750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BA81 1323.26460000 PA USD 1493.28000000 0.000005173485 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31377ZC59 235.20200000 PA USD 261.97000000 0.000000907597 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.07500000 N N N N N N SPIN HOLDCO INC 549300QAS44U2GUXGK45 84850XAG7 6435971.11000000 PA USD 6317999.76000000 0.021888780667 Long LON CORP US N 2 2022-11-14 Variable 0.05092630 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312939JD4 18938.59000000 PA USD 20979.11000000 0.000072682360 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9C67 59964.25530000 PA USD 64343.44000000 0.000222918565 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.03500000 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAM3 6204000.00000000 PA USD 6514200.00000000 0.022568518588 Long DBT CORP US N 2 2026-08-15 Fixed 0.05375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408GHN0 66946.05650000 PA USD 70645.80000000 0.000244753162 Long ABS-MBS USGSE US N 2 2035-12-01 Variable 0.03820000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128LCNB8 6833.57000000 PA USD 7735.41000000 0.000026799414 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UGVQ7 49475.77190000 PA USD 51589.72000000 0.000178733160 Long ABS-MBS USGSE US N 2 2041-06-01 Variable 0.04734000 N N N N N N PLANET FITNESS MASTER ISSUER LLC 18-1A N/A 72703PAC7 17587000.00000000 PA USD 18375601.08000000 0.063662474985 Long ABS-CBDO CORP US N 2 2049-12-05 Fixed 0.03858000 N N N N N N DUKE REALTY LP NEW 2549009GZDBNY1KE9O81 26441YAW7 11077000.00000000 PA USD 11684721.99000000 0.040481849718 Long DBT CORP US N 2 2022-10-15 Fixed 0.03875000 N N N N N N CAPITAL ONE NATL ASSN MCLEAN VA 207ALC1P1YM0OVDV0K75 14042E3Y4 11994000.00000000 PA USD 12217464.89000000 0.042327543439 Long DBT CORP US N 2 2021-07-23 Fixed 0.02950000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36182AMJ7 50033.40350000 PA USD 54205.46000000 0.000187795421 Long ABS-MBS USGA US N 2 2043-11-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E2VY8 671940.99980000 PA USD 729528.49000000 0.002527459594 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 0.04000000 N N N N N N BWAY HLDG CO 549300DNGHXL0OMHW304 05604XAP1 621531.65000000 PA USD 592524.77000000 0.002052808677 Long LON CORP US N 2 2024-04-03 Variable 0.05084000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412U7G9 49887.92680000 PA USD 55284.97000000 0.000191535395 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.04500000 N N N N N N AVOLON HLDGS FDG LTD 635400ZRKEX9L1BKCH30 05401AAE1 5364000.00000000 PA USD 5490915.46000000 0.019023337881 Long DBT CORP KY N 2 2022-05-01 Fixed 0.03625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XUJ89 2233663.05100000 PA USD 2349321.90000000 0.008139251937 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.03500000 N N N N N N FLEX ACQUISITION COMPANY INC 549300HHED2KGPBEDW39 33936YAA3 10673000.00000000 PA USD 10379705.96000000 0.035960607120 Long DBT CORP US N 2 2025-01-15 Fixed 0.06875000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WJSM4 3278059.49100000 PA USD 3490821.61000000 0.012093990420 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373UE45 830.02660000 PA USD 911.91000000 0.000003159322 Long ABS-MBS USGSE US N 2 2025-10-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M1UG2 19918.51120000 PA USD 20516.79000000 0.000071080647 Long ABS-MBS USGSE US N 2 2021-12-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178DBU4 320170.51680000 PA USD 340427.58000000 0.001179415149 Long ABS-MBS USGA US N 2 2042-07-15 Fixed 0.03500000 N N N N N N CITIGROUP COML MTG TR 2013-GC15 N/A 17321JAP9 2196000.00000000 PA USD 2352444.80000000 0.008150071259 Long ABS-MBS CORP US N 2 2046-09-10 Variable 0.05213862 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SLS4 32586401.05900000 PA USD 34436419.03000000 0.119305357987 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419J6M5 10813.77440000 PA USD 11757.45000000 0.000040733816 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A -19600000.00000000 NC USD -876897.92000000 -0.00303802262 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Written GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2030-10-06 0.00000000 USD 0.00000000 USD -19600000.00000000 USD 1.00000000 1.48700000 USD 2020-10-02 XXXX -352107.92000000 N N N RUSSIAN FEDN 5493004EHVGF71PDBU58 78307ADH3 540000.00000000 PA USD 740475.00000000 0.002565383900 Long DBT NUSS RU N 2 2043-09-16 Fixed 0.05875000 N N N N N N IPALCO ENTERPRISES INC 5493000YFVK2DZX0JV43 462613AK6 17516000.00000000 PA USD 17597185.78000000 0.060965646492 Long DBT CORP US N 2 2020-07-15 Fixed 0.03450000 N N N N N N CCM MERGER INC 549300P77RSBKKFME089 N/A 638059.70000000 PA USD 636783.58000000 0.002206143818 Long LON CORP US N 2 2021-08-08 Variable 0.03853380 N N N N N N ELDORADO RESORTS INC 5299000BKFWWVND5L441 28470RAF9 4324000.00000000 PA USD 4518580.00000000 0.015654670830 Long DBT CORP US N 2 2025-04-01 Fixed 0.06000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137B6MF5 1074482.61080000 PA USD 65474.99000000 0.000226838833 Long ABS-CBDO USGSE US N 2 2028-12-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YTL36 486666.94160000 PA USD 521202.63000000 0.001805712327 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36294Q4H1 5674.11920000 PA USD 6672.44000000 0.000023116742 Long ABS-MBS USGA US N 2 2036-08-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMW74 14025728.19400000 PA USD 14447566.00000000 0.050053753619 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394EWW4 1198056.44640000 PA USD 1331049.82000000 0.004611436953 Long ABS-CBDO USGSE US N 2 2035-08-25 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31401H5M0 237223.01430000 PA USD 264368.68000000 0.000915908241 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36223S5C3 217.01540000 PA USD 224.80000000 0.000000778822 Long ABS-MBS USGA US N 2 2021-12-15 Fixed 0.08000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AC1 37147000.00000000 PA USD 54235719.55000000 0.187900255569 Long DBT CORP US N 2 2031-11-15 Fixed 0.07375000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31398SE82 2486040.09760000 PA USD 2771031.28000000 0.009600268790 Long ABS-CBDO USGSE US N 2 2040-12-25 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384MCQ3 523.74650000 PA USD 598.98000000 0.000002075172 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 0.07000000 N N N N N N WFRBS COML MTG TR 2012-C7 N/A 92936TAE2 1226000.00000000 PA USD 1259736.70000000 0.004364371853 Long ABS-MBS CORP US N 2 2045-06-15 Variable 0.04812786 N N N N N N BOYD GAMING CORP 254900787YGRYS2A1Z35 10330JAU2 875231.78000000 PA USD 862470.90000000 0.002988040056 Long LON CORP US N 2 2023-09-15 Variable 0.03829250 N N N N N N TINKOFF CREDIT SYSTEMS VIA TCS FINANCE LTD 2534000KL0PLD6KG7T76 N/A 2092000.00000000 PA USD 2164566.25000000 0.007499163926 Long EP CORP IE N 2 N N N COMCEL TRUST 549300W3HHHYJSCDBJ77 200303AA3 2564000.00000000 PA USD 2621690.00000000 0.009082874259 Long DBT CORP KY N 2 2024-02-06 Fixed 0.06875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208UHQ3 531.25830000 PA USD 609.01000000 0.000002109921 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N MORGAN STANLEY CAP I TR 2011-C2 3IFG42XD94UUZ7FL2766 61691DAN7 1318000.00000000 PA USD 1388342.45000000 0.004809927909 Long ABS-MBS CORP US N 2 2040-07-11 Variable 0.04276000 N N N N N N PREGIS TOPCO LLC 549300LJXHJYHS1GM034 74045BAC1 1250000.00000000 PA USD 1231250.00000000 0.004265679363 Long LON CORP US N 2 2026-07-31 Variable 0.05603380 N N N N N N CENTURY TELEPHONE ENTERPR(OLD) N/A 156686AM9 285000.00000000 PA USD 316350.00000000 0.001095998104 Long DBT CORP US N 2 2028-01-15 Fixed 0.06875000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46625HHU7 4456000.00000000 PA USD 4528324.44000000 0.015688430551 Long DBT CORP US N 2 2020-10-15 Fixed 0.04250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CQG2 130888.08300000 PA USD 134770.76000000 0.000466914801 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.02500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412UGS3 8654.64670000 PA USD 10215.51000000 0.000035391748 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.06000000 N N N N N N MPH ACQUISITION HLDGS LLC 5493002WXOPRPTXWTU06 553283AB8 6780000.00000000 PA USD 6306891.60000000 0.021850296323 Long DBT CORP US N 2 2024-06-01 Fixed 0.07125000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAG8 4279000.00000000 PA USD 4901415.21000000 0.016981007687 Long DBT CORP US N 2 2028-08-28 Variable 0.05650000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407HF84 6631.33600000 PA USD 7872.68000000 0.000027274987 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 0.06500000 N N N N N N VERTAFORE INC N/A 92531SBC6 1433000.00000000 PA USD 1431208.75000000 0.004958438684 Long LON CORP US N 2 2026-07-02 Variable 0.08853380 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAL0 13752000.00000000 PA USD 15047594.35000000 0.052132558533 Long DBT CORP US N 2 2025-11-05 Fixed 0.03875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213ASH8 1189.03220000 PA USD 1376.81000000 0.000004769973 Long ABS-MBS USGA US N 2 2031-04-15 Fixed 0.07000000 N N N N N N GENESEE and WYOMING INC G617XSG94Z7G0RMW3L02 55316HAB1 3750000.00000000 PA USD 3724987.50000000 0.012905260758 Long LON CORP US N 2 2026-12-30 Variable 0.03906050 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296XYZ1 59145.65840000 PA USD 66104.24000000 0.000229018877 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WH3U4 6782261.48500000 PA USD 7027959.76000000 0.024348445009 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 0.02500000 N N N N N N RUSSIAN FEDN 5493004EHVGF71PDBU58 N/A 600000.00000000 PA USD 776250.00000000 0.002689326786 Long DBT NUSS RU N 2 2047-06-23 Fixed 0.05250000 N N N N N N AES CORP 2NUNNB7D43COUIRE5295 00130HCA1 1851000.00000000 PA USD 1841782.02000000 0.006380874359 Long DBT CORP US N 2 2023-03-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378PZP1 48.04910000 PA USD 51.14000000 0.000000177175 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.07500000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AQ7 640000.00000000 PA USD 630777.60000000 0.002185336033 Long DBT CORP US N 2 2030-04-15 Fixed 0.04625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A4HC2 25917.64260000 PA USD 28167.22000000 0.000097585647 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CDJ0 749351.74600000 PA USD 781923.29000000 0.002708981963 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 0.03000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392EVD9 18410.22870000 PA USD 18783.86000000 0.000065076892 Long ABS-CBDO USGSE US N 2 2032-04-25 Variable 0.02626750 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283HWZ4 25649.70950000 PA USD 29610.90000000 0.000102587293 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378CAA0 57.05540000 PA USD 64.28000000 0.000000222698 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MMME0 10843.62720000 PA USD 11442.20000000 0.000039641629 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 0.04500000 N N N N N N AASET 2019-1 TRUST 549300TXM3PCKZJKD061 00256DAA0 13764433.54000000 PA USD 14072312.26000000 0.048753682850 Long ABS-CBDO CORP US N 2 2039-05-15 Fixed 0.03844000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GDQH8 12942.20650000 PA USD 14320.47000000 0.000049613428 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N INTELSAT JACKSON HLDGS S A 8XJ8KF85PBKK1TLMFN29 N/A 3017000.00000000 PA USD 3032085.00000000 0.010504692315 Long LON CORP LU N 2 2024-01-02 Fixed 0.06625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AMMM4 11973.31910000 PA USD 13234.96000000 0.000045852666 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945DS4 7791097.72590000 PA USD 8498763.13000000 0.029444059697 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H7DM6 403422.19000000 PA USD 435845.55000000 0.001509991771 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04500000 N N N N N N GHANA REP 213800PP4399SNNXZ126 37443GAG6 940000.00000000 PA USD 928250.00000000 0.003215932482 Long DBT NUSS GH N 2 2027-02-11 Fixed 0.06375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230NUW3 15115.81590000 PA USD 16475.45000000 0.000057079380 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LG4 15927000.00000000 PA USD 16291059.53000000 0.056440557525 Long DBT CORP US N 2 2022-04-25 Fixed 0.02750000 N N N N N N CENGAGE LEARNING INC 549300BYGM0FWUSVXJ88 15134NAE6 3820733.53000000 PA USD 3517481.91000000 0.012186355326 Long LON CORP US N 2 2023-06-07 Variable 0.05853380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BNH5 537959.60380000 PA USD 559244.89000000 0.001937510161 Long ABS-MBS USGSE US N 2 2030-02-01 Fixed 0.03000000 N N N N N N CENTURYLINK INC 8M3THTGWLTYZVE6BBY25 156700AZ9 3040000.00000000 PA USD 3169200.00000000 0.010979728763 Long DBT CORP US N 2 2025-04-01 Fixed 0.05625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207WBB9 1111.68080000 PA USD 1254.51000000 0.000004346263 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07000000 N N N N N N MORGAN STANLEY CAP I TR 2015-MS1 N/A 61765DAZ1 468000.00000000 PA USD 496630.41000000 0.001720581597 Long ABS-MBS CORP US N 2 2048-05-15 Variable 0.04031055 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178YJ55 4771442.60600000 PA USD 5011017.69000000 0.017360726702 Long ABS-MBS USGA US N 2 2043-01-20 Fixed 0.03500000 N N N N N N NAVIENT CORP 54930067J0ZNOEBRW338 78442FEQ7 5602000.00000000 PA USD 5728045.00000000 0.019844875818 Long DBT CORP US N 2 2023-01-25 Fixed 0.05500000 N N N N N N II-VI INC 549300O5C25A0MMHHU33 45173JAK0 3740625.00000000 PA USD 3693867.19000000 0.012797444097 Long LON CORP US N 2 2026-09-24 Variable 0.05103380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404TVK6 43995.56210000 PA USD 48263.80000000 0.000167210473 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQPN7 246484.93270000 PA USD 271734.21000000 0.000941426202 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206F6U1 1908.30980000 PA USD 2065.36000000 0.000007155462 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MCP58 370276.95190000 PA USD 390241.91000000 0.001351997451 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 0.04500000 N N N N N N DISCOVER BANK X05BVSK68TQ7YTOSNR22 25466AAF8 16424000.00000000 PA USD 16774500.97000000 0.058115445788 Long DBT CORP US N 2 2021-08-09 Fixed 0.03200000 N N N N N N JP INTERMEDIATE B LLC 549300PC0CHCVUMNS121 46650KAB7 1610625.00000000 PA USD 893896.88000000 0.003096915715 Long LON CORP US N 2 2025-11-20 Variable 0.07277130 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828X70 15926700.00000000 PA USD 16629092.32000000 0.057611675898 Long DBT UST US N 2 2024-04-30 Fixed 0.02000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297KMS8 4755.14770000 PA USD 5346.58000000 0.000018523286 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208YMC0 88.58260000 PA USD 100.92000000 0.000000349638 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N CABLEVISION SA N/A 12686NAT2 645000.00000000 PA USD 628875.00000000 0.002178744454 Long DBT CORP AR N 2 2021-06-15 Fixed 0.06500000 N N N N N N DCP MIDSTREAM OPERATING LP 549300Y6CTBSE0QIPL28 23311VAH0 5000000.00000000 PA USD 4912500.00000000 0.017019411066 Long DBT CORP US N 2 2029-05-15 Fixed 0.05125000 N N N N N N TIMES SQUARE HOTEL TR N/A 887367AA8 1132272.01410000 PA USD 1337366.67000000 0.004633321751 Long DBT CORP US N 2 2026-08-01 Fixed 0.08528000 N N N N N N DB MASTER FIN LLC 549300F17UZJL70BPB08 233046AF8 18323237.50000000 PA USD 19470638.63000000 0.067456244796 Long ABS-CBDO CORP US N 2 2047-11-20 Fixed 0.04030000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MRLJ8 858234.84410000 PA USD 920479.36000000 0.003189011013 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03500000 N N N N N N BI-LO LLC N/A 088612AM8 7555159.47600000 PA USD 6912970.92000000 0.023950064890 Long LON CORP US N 2 2024-05-31 Variable 0.09762110 N N N N N N MILLICOM INTL CELLULAR SA 549300CTHC1CP86P2G96 600814AM9 3373000.00000000 PA USD 3456270.94000000 0.011974289238 Long DBT CORP LU N 2 2025-03-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AAXE6 12594.90290000 PA USD 13929.91000000 0.000048260328 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N VVC HOLDING CORP 549300Z86PUW4ENZCD61 04685YAK5 8188115.58000000 PA USD 8085764.14000000 0.028013220087 Long LON CORP US N 2 2026-02-11 Variable 0.06157880 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241L3J3 1237679.74290000 PA USD 1382134.42000000 0.004788420120 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.05000000 N N N N N N ORSTED A/S W9NG6WMZIYEU8VEDOG48 N/A 1600000.00000000 PA 1800441.76000000 0.006237650567 Long EP CORP DK N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403RPM4 14452.29410000 PA USD 16206.97000000 0.000056149228 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M7WZ4 373442.90680000 PA USD 395743.54000000 0.001371057910 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 0.03000000 N N N N N N TBG GLOBAL PTE LTD N/A N/A 1258000.00000000 PA USD 1270768.70000000 0.004402592340 Long DBT CORP SG N 2 2022-02-10 Fixed 0.05250000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3140J7LX1 566479.91330000 PA USD 603492.97000000 0.002090808128 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180XDB6 68941.34340000 PA USD 73173.97000000 0.000253512035 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A5P55 45283.26790000 PA USD 50083.10000000 0.000173513458 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N HOLLY EN PART LP/ HOL FIN CORP N/A 435765AH5 5115000.00000000 PA USD 5146968.75000000 0.017831730666 Long DBT CORP US N 2 2028-02-01 Fixed 0.05000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FSE7 356424.42100000 PA USD 390153.72000000 0.001351691916 Long ABS-MBS USGA US N 2 2041-04-20 Fixed 0.04500000 N N N N N N TELEFONICA CELULAR DEL PARAGUAY SA 254900R8A8IKGF4THL54 87936VAB3 625000.00000000 PA USD 655148.44000000 0.002269769080 Long DBT CORP PY N 2 2027-04-15 Fixed 0.05875000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31398NE26 60.26770000 PA USD 0.68000000 0.000000002355 Long ABS-CBDO USGSE US N 2 2021-06-25 Variable 0.04733250 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200J7A2 60784.64280000 PA USD 67215.51000000 0.000232868884 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 0.05000000 N N N N N N UBS COML MTG TR 2012-C1 N/A 90269GAN1 989000.00000000 PA USD 1011387.30000000 0.003503962586 Long ABS-MBS CORP US N 2 2045-05-10 Variable 0.05570215 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378QY39 635.41030000 PA USD 733.15000000 0.000002540006 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.07500000 N N N N N N EL PASO PIPELINE PARTNERS OPER CO L L C N/A 28370TAE9 12030000.00000000 PA USD 12535560.75000000 0.043429590096 Long DBT CORP US N 2 2021-10-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335GJ63 9.88320000 PA USD 10.39000000 0.000000035996 Long ABS-MBS USGSE US N 2 2025-03-01 Fixed 0.08500000 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NAM1 2085000.00000000 PA USD 2359294.89000000 0.008173803472 Long DBT CORP NL N 2 2024-03-17 Fixed 0.06250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224YZK8 78.12380000 PA USD 83.68000000 0.000000289910 Long ABS-MBS USGA US N 2 2023-01-15 Fixed 0.09000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EKF83 20089.77730000 PA USD 21232.96000000 0.000073561826 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03000000 N N N N N N LEBANON REPUBLIC OF 529900QPC4K9S1KHL354 N/A 1564000.00000000 PA USD 619246.25000000 0.002145385542 Long DBT NUSS LB N 2 2020-04-14 Fixed 0.05800000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 3136A7HT2 674441.58480000 PA USD 51664.72000000 0.000178992998 Long ABS-CBDO USGSE US N 2 2027-07-25 Fixed 0.04500000 N N N N N N SUNOCO LP / SUNOCO FIN CORP N/A 86765LAL1 2245000.00000000 PA USD 2278899.50000000 0.007895272746 Long DBT CORP US N 2 2026-02-15 Fixed 0.05500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371GCX6 342.18140000 PA USD 386.90000000 0.000001340419 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389SUT9 491.46490000 PA USD 569.60000000 0.000001973385 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.07000000 N N N N N N EL SALVADOR REPUBLIC OF 529900AKDMUSFSDOM949 283875AS1 2165000.00000000 PA USD 2322639.06000000 0.008046808940 Long DBT NUSS SV N 2 2027-01-18 Fixed 0.06375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31409H5X8 342.49070000 PA USD 349.27000000 0.000001210049 Long ABS-MBS USGSE US N 2 2021-04-01 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946PD2 26615.70050000 PA USD 29450.11000000 0.000102030234 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2X98 5189770.70400000 PA USD 5552406.45000000 0.019236374102 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 0.04000000 N N N N N N AECOM 0EEB8GF0W0NPCIHZX097 00766TAD2 4702000.00000000 PA USD 5160445.00000000 0.017878419285 Long DBT CORP US N 2 2024-10-15 Fixed 0.05875000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 2335000.00000000 PA USD 2522033.50000000 0.008737613202 Long EP CORP US N 2 N N N INVITATION HOMES 2018-SFR3 TR N/A 46187VAL3 130237.84000000 PA USD 130237.54000000 0.000451209410 Long ABS-MBS CORP US N 2 2037-07-17 Variable 0.03908500 N N N N N N MARSH and MCLENNAN COS INC 549300XMP3KDCKJXIU47 571748BH4 5849000.00000000 PA USD 7567248.21000000 0.026216815862 Long DBT CORP US N 2 2039-03-15 Fixed 0.04750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225ACL2 89.64480000 PA USD 97.14000000 0.000000336542 Long ABS-MBS USGA US N 2 2025-03-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296YEC2 19762.13090000 PA USD 21786.51000000 0.000075479606 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201JFJ3 1145.85170000 PA USD 1326.03000000 0.000004594045 Long ABS-MBS USGA US N 2 2032-04-15 Fixed 0.07000000 N N N N N N GULF FINANCE LLC 549300GL13V5C6ULWJ40 40227UAB2 2907192.02000000 PA USD 2183301.21000000 0.007564071404 Long LON CORP US N 2 2023-08-25 Variable 0.07018690 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615LE4 48.84750000 PA USD 51.80000000 0.000000179461 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 0.07000000 N N N N N N CLECO CORPORATE HLDGS LLC 5493002H80P81B3HXL31 18551QAA5 12555000.00000000 PA USD 12901492.14000000 0.044697363480 Long DBT CORP US N 2 2029-09-15 Fixed 0.03375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210GER1 206.77390000 PA USD 240.99000000 0.000000834912 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207J6T5 346.67550000 PA USD 394.29000000 0.000001366022 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N NABORS INDUSTRIES INC 549300VFQWRKICUFNU92 62957HAF2 1880000.00000000 PA USD 1348900.00000000 0.004673279101 Long DBT CORP US N 2 2025-02-01 Fixed 0.05750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L65K3 2997057.90770000 PA USD 3176596.36000000 0.011005353535 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 0.03500000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AP4 3945000.00000000 PA USD 4240882.85000000 0.014692585955 Long DBT CORP GB N 2 2024-03-14 Fixed 0.04250000 N N N N N N ROYAL BANK OF SCOTLAND GRP PLC (UNGTD) 2138005O9XJIJN4JPN90 780097BA8 15141000.00000000 PA USD 17309046.75000000 0.059967385607 Long DBT CORP GB N 2 2026-04-05 Fixed 0.04800000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31392XV96 146576.51680000 PA USD 167777.80000000 0.000581268060 Long ABS-CBDO USGSE US N 2 2032-11-15 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402TVZ5 115950.21470000 PA USD 126814.80000000 0.000439351289 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N CSMC 2018-SITE N/A 12690CAA1 11930000.00000000 PA USD 12823876.72000000 0.044428463991 Long ABS-MBS CORP US N 2 2036-04-15 Fixed 0.04284000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FKL9 291225.45700000 PA USD 310580.36000000 0.001076009122 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 0.03500000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RCN0 25177000.00000000 PA USD 26860973.72000000 0.093060143180 Long DBT CORP US N 2 2025-05-15 Fixed 0.03400000 N N N N N N PBF LOGISTICS LP/PBF LOGISTICS FIN CORP N/A 69318UAB1 4743000.00000000 PA USD 4858254.90000000 0.016831478311 Long DBT CORP US N 2 2023-05-15 Fixed 0.06875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417TKW7 141479.43180000 PA USD 156785.14000000 0.000543183867 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 0.04500000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38374H2N9 125679.57490000 PA USD 30008.02000000 0.000103963120 Long ABS-CBDO USGA US N 2 2034-08-17 Variable 0.05541500 N N N N N N BANK 2018-BNK15 N/A 06036FAL5 735000.00000000 PA USD 655280.14000000 0.002270225356 Long ABS-MBS CORP US N 2 2061-11-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385QRX2 400.17980000 PA USD 469.81000000 0.000001627661 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177LQG2 51853.07990000 PA USD 56387.52000000 0.000195355192 Long ABS-MBS USGA US N 2 2042-04-15 Fixed 0.04000000 N N N N N N ARAGON JUNIOR MEZZ N/A N/A 1000000.00000000 PA USD 1000000.00000000 0.003464511158 Long LON CORP US N 3 2025-01-15 Variable 0.07650130 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EVWN3 362071.39400000 PA USD 389116.43000000 0.001348098213 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WAYJ0 1523915.36830000 PA USD 1609675.53000000 0.005576738835 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J6PJ7 15710.20360000 PA USD 16744.60000000 0.000058011853 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291GR40 12838.32380000 PA USD 14249.11000000 0.000049366200 Long ABS-MBS USGA US N 2 2034-02-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293TF28 197.24770000 PA USD 223.80000000 0.000000775357 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378PHR7 518.78200000 PA USD 597.44000000 0.000002069837 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213JVL6 2990.87490000 PA USD 3484.66000000 0.000012072643 Long ABS-MBS USGA US N 2 2032-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31400TSM0 82018.34700000 PA USD 89730.98000000 0.000310873981 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FXB7 895380.25510000 PA USD 964940.20000000 0.003343046090 Long ABS-MBS USGA US N 2 2041-09-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HQF23 4340444.67100000 PA USD 4631655.52000000 0.016046422231 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418XLE6 3213.70160000 PA USD 3440.75000000 0.000011920516 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413ECS2 19612.99980000 PA USD 23293.84000000 0.000080701768 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 0.06000000 N N N N N N GS MTG SECS CORP TR 2019 5493005BBCF84ICNQ550 36258YAA6 952000.00000000 PA USD 854256.26000000 0.002959580344 Long ABS-MBS CORP US N 2 2053-02-13 Fixed 0.02850000 N N N N N N TAH 2017 N/A 89613FAF5 280000.00000000 PA USD 294737.27000000 0.001021120560 Long ABS-CBDO CORP US N 2 2036-01-17 Fixed 0.05104000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213DGZ5 538.32610000 PA USD 621.85000000 0.000002154406 Long ABS-MBS USGA US N 2 2031-08-15 Fixed 0.07000000 N N N N N N ANTHEM INC 8MYN82XMYQH89CTMTH67 94973VBA4 4104000.00000000 PA USD 4289624.21000000 0.014861450941 Long DBT CORP US N 2 2023-01-15 Fixed 0.03300000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 03523TBW7 36395000.00000000 PA USD 51416519.08000000 0.178133104082 Long DBT CORP US N 2 2059-01-23 Fixed 0.05800000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206V2E6 3326.14190000 PA USD 3810.06000000 0.000013199995 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31415YKQ1 7160.30090000 PA USD 7934.93000000 0.000027490653 Long ABS-MBS USGSE US N 2 2039-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371LHK8 3330.73180000 PA USD 3641.57000000 0.000012616259 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 0.04500000 N N N N N N MED PARENTCO LP 549300660CLPRNK19Z91 58401DAD6 409156.73600000 PA USD 401742.82000000 0.001391842482 Long LON CORP US N 2 2026-08-31 Variable 0.04781360 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402UJZ6 52636.49050000 PA USD 57493.29000000 0.000199186144 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410PXH1 18911.31140000 PA USD 19833.69000000 0.000068714040 Long ABS-MBS USGSE US N 2 2036-09-01 Variable 0.03879000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ARDQ1 113150.33510000 PA USD 126038.34000000 0.000436661235 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 0.05000000 N N N N N N AMERILIFE HOLDINGS LLC N/A 03078CAC8 997159.09000000 PA USD 987187.50000000 0.003420122109 Long LON CORP US N 2 2027-02-06 Variable 0.00000000 N N N N N N MED PARENTCO LP 549300660CLPRNK19Z91 58401DAC8 1411708.09000000 PA USD 1386127.94000000 0.004802255715 Long LON CORP US N 2 2026-08-31 Variable 0.05853380 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505EN0 5186000.00000000 PA USD 5749251.46000000 0.019918345836 Long EP CORP US N 2 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBJJ3 112229.64940000 PA USD 121616.82000000 0.000421342829 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFTA5 13655.48300000 PA USD 15178.42000000 0.000052585805 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404M2J6 43380.75730000 PA USD 47655.84000000 0.000165104189 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HGSC2 161382.32800000 PA USD 173840.29000000 0.000602271624 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203PCT8 40.46800000 PA USD 43.65000000 0.000000151225 Long ABS-MBS USGA US N 2 2024-03-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213FHP1 680.31710000 PA USD 751.05000000 0.000002602021 Long ABS-MBS USGA US N 2 2032-12-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203M5D8 390.62080000 PA USD 441.94000000 0.000001531106 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312941W45 19427.52920000 PA USD 21709.55000000 0.000075212978 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204JUD6 1582.19470000 PA USD 1741.00000000 0.000006031713 Long ABS-MBS USGA US N 2 2025-12-15 Fixed 0.07000000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCUL8 27590.82580000 PA USD 5951.83000000 0.000020620181 Long ABS-CBDO USGSE US N 2 2035-07-25 Variable 0.06000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RZU6 340145.13000000 PA USD 362212.08000000 0.001254887792 Long ABS-MBS USGA US N 2 2046-02-20 Fixed 0.04000000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31394UHV7 63613.99740000 PA USD 59302.34000000 0.000205453618 Long ABS-CBDO USGSE US N 2 2035-11-25 Fixed 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378QY47 1742.42950000 PA USD 2008.76000000 0.000006959371 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.07500000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 117600000.00000000 NC USD 5469606.58000000 0.018949513028 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2029-10-30 0.00000000 USD 0.00000000 USD 117600000.00000000 USD 1.00000000 1.90500000 USD 2024-10-28 XXXX 2253246.58000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AR3K5 102353.29890000 PA USD 110984.03000000 0.000384505410 Long ABS-MBS USGA US N 2 2041-02-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RW91 242.54450000 PA USD 274.68000000 0.000000951631 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 0.07000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FLN4 1975964.54830000 PA USD 2130707.47000000 0.007381859805 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J6FQ2 43139.38680000 PA USD 46828.56000000 0.000162238068 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202EHD4 35620.76040000 PA USD 39253.59000000 0.000135994500 Long ABS-MBS USGA US N 2 2036-03-20 Fixed 0.04500000 N N N N N N VENTIA DECO LLC N/A N/A 1991430.63000000 PA USD 1986452.05000000 0.006882085293 Long LON CORP US N 3 2026-05-21 Variable 0.05444630 N N N N N N MORGAN STANLEY CAP I TR 2016-BNK2 N/A 61690YBZ4 603000.00000000 PA USD 650257.59000000 0.002252824676 Long ABS-MBS CORP US N 2 2049-11-15 Variable 0.03904922 N N N N N N MONONGAHELA PWR CO N/A 610202BN2 2537000.00000000 PA USD 2783607.64000000 0.009643839729 Long DBT CORP US N 2 2024-04-15 Fixed 0.04100000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BXM5 874.23360000 PA USD 1011.10000000 0.000003502967 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SAN3 6099000.00000000 PA USD 6265960.00000000 0.021708488338 Long DBT CORP US N 2 2022-08-09 Fixed 0.02850000 N N N N N N SG COML MTG SECS TR 2020-COVE N/A 78397FAN3 356000.00000000 PA USD 342225.29000000 0.001185643335 Long ABS-MBS CORP US N 2 2037-03-15 Variable 0.03851800 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 N/A 1550000.00000000 NC -42549.45000000 -0.00014741304 N/A DCR CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 VOLVO TREAS AB VOLVO TREAS AB MTN 2.375 11/19 Y 2024-06-20 0.00000000 EUR 33670.54000000 EUR 1550000.00000000 EUR -9204.16000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417VGK3 29666.29570000 PA USD 31120.99000000 0.000107819017 Long ABS-MBS USGSE US N 2 2039-12-01 Variable 0.03810000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205PZA2 734.29870000 PA USD 819.61000000 0.000002839547 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31369MXV8 808.51470000 PA USD 862.65000000 0.000002988660 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36202STC2 3861.72450000 PA USD 4255.89000000 0.000014744578 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31400RDY4 622.40860000 PA USD 644.42000000 0.000002232600 Long ABS-MBS USGSE US N 2 2033-02-01 Variable 0.03449000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YJ5N2 409343.34880000 PA USD 438391.87000000 0.001518813525 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N COMMONWEALTH BANK OF AUSTRALIA MSFSBD3QN1GSN7Q6C537 202712BK0 9644000.00000000 PA USD 10253001.82000000 0.035521639213 Long DBT CORP AU N 2 2034-09-12 Variable 0.03610000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RJF7 337249.81100000 PA USD 361131.35000000 0.001251143591 Long ABS-MBS USGA US N 2 2045-07-20 Fixed 0.04000000 N N N N N N AMERICAN HOMES 4 RENT 549300ZJUO7A58PNUW40 02665T702 26975.00000000 NS USD 699192.00000000 0.002422358485 Long EP CORP US N 1 N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GD2M3 34455.75960000 PA USD 38135.86000000 0.000132122112 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 362165AP7 70.46040000 PA USD 73.39000000 0.000000254260 Long ABS-MBS USGA US N 2 2022-10-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M4W92 39380.40930000 PA USD 43168.07000000 0.000149556260 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M2BS4 35634.04580000 PA USD 38637.89000000 0.000133861401 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418AHE1 162020.82990000 PA USD 168330.20000000 0.000583181856 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.03000000 N N N N N N PRESTIGE BRANDS INC 549300JBVP4J6D42I235 74112BAK1 1223000.00000000 PA USD 1260705.09000000 0.004367726851 Long DBT CORP US N 2 2024-03-01 Fixed 0.06375000 N N N N N N ACADEMY LTD 549300BN53IR80C35Z14 00400YAH4 3187440.30000000 PA USD 2526046.44000000 0.008751516078 Long LON CORP US N 2 2022-07-02 Variable 0.05655000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140J8LJ0 13586910.13100000 PA USD 15056786.91000000 0.052164406260 Long ABS-MBS USGSE US N 2 2046-03-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213J7F6 4162.77900000 PA USD 4844.81000000 0.000016784898 Long ABS-MBS USGA US N 2 2031-12-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207LGW2 3228.43820000 PA USD 3823.18000000 0.000013245449 Long ABS-MBS USGA US N 2 2031-01-15 Fixed 0.08500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31414NDX9 87275.63890000 PA USD 102743.36000000 0.000355955517 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JAFT0 65928212.80300000 PA USD 73757919.88000000 0.255535136450 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9G48 224470.93600000 PA USD 239741.67000000 0.000830587690 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 0.03500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FZX7 23164479.02930000 PA USD 24660561.54000000 0.085436790629 Long ABS-MBS USGA US N 2 2041-12-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31410GER0 404450.47420000 PA USD 469823.22000000 0.001627707788 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AGP90 13830.03330000 PA USD 15431.23000000 0.000053461668 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JMN96 164169.42890000 PA USD 172770.02000000 0.000598563662 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411WPK7 58849.38440000 PA USD 61863.20000000 0.000214325746 Long ABS-MBS USGSE US N 2 2036-06-01 Variable 0.04182000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HBFQ6 1375974.36700000 PA USD 1541796.48000000 0.005341571109 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.05500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179RVC0 552057.45400000 PA USD 589769.93000000 0.002043264503 Long ABS-MBS USGA US N 2 2045-12-20 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335BVW3 10704962.59700000 PA USD 11265779.53000000 0.039030418890 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207WBE3 517.17580000 PA USD 583.09000000 0.000002020121 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138EPH64 1067991.78300000 PA USD 1180153.99000000 0.004088656667 Long ABS-MBS USGSE US N 2 2041-08-01 Variable 0.05245000 N N N N N N ESKOM HLDGS LTD 3789001900ED06F65111 296464AA8 10375000.00000000 PA USD 10385375.00000000 0.035980247572 Long DBT CORP ZA N 2 2021-01-26 Fixed 0.05750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SYD5 202615.45120000 PA USD 216967.76000000 0.000751687225 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N GETTY IMAGES INC 5493005NV20IG4VEKZ40 37427UAJ9 1351995.19000000 PA USD 1308055.35000000 0.004531772355 Long LON CORP US N 2 2026-02-19 Variable 0.06125000 N N N N N N ALFA BD ISSUANCE PLC 253400QWEQNERA6RJS29 01538RAF6 600000.00000000 PA USD 610312.50000000 0.002114434466 Long DBT CORP IE N 2 2030-04-15 Variable 0.05950000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AFD64 12656.49380000 PA USD 13998.03000000 0.000048496331 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A5SK9 41993.84490000 PA USD 45638.78000000 0.000158116062 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379C5N7 233.08240000 PA USD 266.16000000 0.000000922114 Long ABS-MBS USGSE US N 2 2028-01-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31293HR88 521.74900000 PA USD 592.05000000 0.000002051163 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138W03B3 173281.55070000 PA USD 183141.93000000 0.000634497260 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297YY97 83.78470000 PA USD 98.92000000 0.000000342709 Long ABS-MBS USGSE US N 2 2030-08-01 Fixed 0.08000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179QWF4 3006006.65120000 PA USD 3226384.81000000 0.011177846175 Long ABS-MBS USGA US N 2 2044-12-20 Fixed 0.04000000 N N N N N N BHP BILLITON FIN USA LTD N/A 055451AX6 11105000.00000000 PA USD 12909562.50000000 0.044725323332 Long DBT CORP AU N 2 2075-10-19 Variable 0.06750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHBK7 5501260.54810000 PA USD 5883054.63000000 0.020381908411 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36194GME1 129509.94140000 PA USD 138245.11000000 0.000478951726 Long ABS-MBS USGA US N 2 2046-07-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208FJT8 6323.87610000 PA USD 7169.91000000 0.000024840233 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N GS MTG SECS TR 2012-GCJ9 N/A 36192PAK2 1910000.00000000 PA USD 1980800.84000000 0.006862506612 Long ABS-MBS CORP US N 2 2045-11-10 Variable 0.04741787 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205JEQ4 878.44600000 PA USD 926.78000000 0.000003210839 Long ABS-MBS USGA US N 2 2024-08-15 Fixed 0.07500000 N N N N N N JP MORGAN CHASE COML MTG SECS TR 2012-CIBX N/A 46637WAQ6 1135000.00000000 PA USD 1108746.54000000 0.003841264759 Long ABS-MBS CORP US N 2 2045-06-15 Variable 0.05132024 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H42Q6 402749.56900000 PA USD 432727.55000000 0.001499189425 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297JKL7 10915.82540000 PA USD 12200.09000000 0.000042267347 Long ABS-MBS USGA US N 2 2039-04-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WKKE4 6989658.98600000 PA USD 7293473.60000000 0.025268320671 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208N3B7 1189.76840000 PA USD 1332.67000000 0.000004617050 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312946K96 14853.65590000 PA USD 16552.00000000 0.000057344588 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31392UTM6 68854.32020000 PA USD 78603.45000000 0.000272322529 Long ABS-CBDO USGSE US N 2 2032-09-15 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7RA3 4821.67620000 PA USD 5155.47000000 0.000017861183 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 0.04000000 N N N N N N WELLS FARGO COML MTG TR 2012-LC5 N/A 94988HAG6 362000.00000000 PA USD 383283.93000000 0.001327891452 Long ABS-MBS CORP US N 2 2045-10-15 Variable 0.04693000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407NH97 10049.99320000 PA USD 11937.70000000 0.000041358294 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06500000 N N N N N N FRONTERA ENERGY CORP A25574TZFLBNK7NWQT47 35905BAA5 1638000.00000000 PA USD 1695330.00000000 0.005873489702 Long DBT CORP CA N 2 2023-06-25 Fixed 0.09700000 N N N N N N CDS US INTERMEDIATE HOLDINGS INC 549300VTG63IM7QSFH59 12512KAG6 2214338.64000000 PA USD 2020584.01000000 0.007000335849 Long LON CORP US N 2 2022-07-08 Variable 0.05694630 N N N N N N 1011778 BC UNLIMITED LIABILITY CO 549300RHSHNRWI5LLA86 N/A 3000000.00000000 PA USD 2947500.00000000 0.010211646639 Long LON CORP CA N 2 2026-11-19 Variable 0.03353380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291LF26 17463.38520000 PA USD 19382.42000000 0.000067150610 Long ABS-MBS USGA US N 2 2035-03-15 Fixed 0.05000000 N N N N N N ALTICE FING SA 549300DIYGW8HVDF7Q17 02154CAF0 6655000.00000000 PA USD 6454684.50000000 0.022362326474 Long DBT CORP LU N 2 2028-01-15 Fixed 0.05000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCG5 58538000.00000000 PA USD 61245382.50000000 0.212185311076 Long DBT CORP MX N 2 2027-03-13 Fixed 0.06500000 N N N N N N WELLS FARGO COML MTG TR 2016-C34 549300FWFHJGIW2B2U59 95000DBG5 21192261.84330000 PA USD 1882322.13000000 0.006521326023 Long ABS-MBS CORP US N 2 2049-06-15 Variable 0.02127635 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36192XPJ2 179108.54100000 PA USD 191795.73000000 0.000664478446 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204D4M8 267.83110000 PA USD 286.77000000 0.000000993517 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MQP8 11429403.34730000 PA USD 12153286.89000000 0.042105198042 Long ABS-MBS USGA US N 2 2042-10-20 Fixed 0.03500000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHL6 43427000.00000000 PA USD 46464381.22000000 0.160976367208 Long DBT CORP US N 2 2024-07-23 Variable 0.03864000 N N N N N N NUFARM AUSTRALIA LTD / NUFARM AMERICAS INC N/A 67052NAA3 6356000.00000000 PA USD 6260660.00000000 0.021690126429 Long DBT CORP AU N 2 2026-04-30 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138M7YR0 85423.18130000 PA USD 91618.60000000 0.000317413662 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J9JD1 523295.49500000 PA USD 550710.16000000 0.001907941494 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FRC8 7883.29620000 PA USD 8710.55000000 0.000030177797 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.04500000 N N N N N N PIKE CORP 549300P4EKEP6HK0NC58 72108PAP9 2374307.72000000 PA USD 2350137.27000000 0.008142076795 Long LON CORP US N 2 2026-07-24 Variable 0.04860000 N N N N N N COMMERCIAL MORTGAGE CD 2016-CD2 MTG TR N/A 12515ABJ8 619000.00000000 PA USD 662527.34000000 0.002295333362 Long ABS-MBS CORP US N 2 2049-11-10 Variable 0.04027613 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224YQD4 35.25100000 PA USD 37.06000000 0.000000128394 Long ABS-MBS USGA US N 2 2023-03-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMGZ9 295002.70190000 PA USD 319693.81000000 0.001107582772 Long ABS-MBS USGA US N 2 2042-03-15 Fixed 0.04000000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C13 N/A 61763BAC8 1579000.00000000 PA USD 1666251.12000000 0.005772745598 Long ABS-MBS CORP US N 2 2046-11-15 Variable 0.04907276 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 21H032647 187825000.00000000 PA USD 194425621.28000000 0.673589734418 Long ABS-MBS USGA US N 2 2050-04-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AASH2 573265.80550000 PA USD 633422.83000000 0.002194500462 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.04500000 N N N N N N GS MORTGAGE SECURITIES TRUST 54930070360RBP384M53 36250VAF9 17622357.49070000 PA USD 1007012.00000000 0.003488804310 Long ABS-MBS CORP US N 2 2048-10-10 Variable 0.01268206 N N N N N N WALGREENS BOOTS ALLIANCE INC 549300RPTUOIXG4LIH86 931427AF5 6403000.00000000 PA USD 6568824.32000000 0.022757765154 Long DBT CORP US N 2 2021-11-18 Fixed 0.03300000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L9NK7 6877808.79600000 PA USD 7328425.63000000 0.025389412369 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176TAR9 47751.73720000 PA USD 51658.92000000 0.000178972904 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N VERTIV GROUP CORP 549300ZT8RQ5VK10E643 22051UAM7 2172428.80000000 PA USD 2158851.12000000 0.007479363794 Long LON CORP US N 2 2023-11-30 Variable 0.07750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36292BE44 18143.34870000 PA USD 21291.48000000 0.000073764570 Long ABS-MBS USGA US N 2 2035-10-15 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404RYV3 38198.00550000 PA USD 41811.65000000 0.000144856927 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417WHZ7 12378.79980000 PA USD 13694.77000000 0.000047445683 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SYT8 29887539.80000000 PA USD 31667719.38000000 0.109713167155 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 0.04000000 N N N N N N GS MORTGAGE SECURITIES CORPORATION II N/A 36192BAR8 447457.00000000 PA USD 374336.71000000 0.001296893708 Long ABS-MBS CORP US N 2 2045-01-10 Variable 0.05000000 N N N N N N KAZAKHSTAN REPUBLIC OF 5493007OEK8EF02UO833 486661AH4 185000.00000000 PA USD 281662.50000000 0.000975822874 Long DBT NUSS KZ N 2 2045-07-21 Fixed 0.06500000 N N N N N N NAKILAT INC 2549006RMTDJWLLWF072 62983PAA3 1258000.00000000 PA USD 1526504.38000000 0.005288591457 Long DBT CORP MH N 2 2033-12-31 Fixed 0.06067000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210RTT7 438.90280000 PA USD 509.59000000 0.000001765480 Long ABS-MBS USGA US N 2 2029-11-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241KAP3 10702.23540000 PA USD 11838.32000000 0.000041013991 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AABH0 63451.63320000 PA USD 69951.45000000 0.000242347579 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176W7H8 6721.61230000 PA USD 7146.89000000 0.000024760480 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M4JL8 25250.75470000 PA USD 28383.84000000 0.000098336130 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 0.05000000 N N N N N N TRANSOCEAN POSEIDON LTD N/A 89383JAA6 645000.00000000 PA USD 654804.00000000 0.002268575764 Long DBT CORP KY N 2 2027-02-01 Fixed 0.06875000 N N N N N N TERRAFORM POWER OPERATING LLC 5493000S2OLR3UT5BE13 88104LAE3 1443000.00000000 PA USD 1553100.90000000 0.005380735398 Long DBT CORP US N 2 2028-01-31 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213DZ27 3052.41230000 PA USD 3571.01000000 0.000012371803 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128PDLT5 219.82020000 PA USD 220.62000000 0.000000764340 Long ABS-MBS USGSE US N 2 2020-06-01 Fixed 0.05500000 N N N N N N MERIT SECURITIES CORP N/A 589962CV9 137471.66850000 PA USD 144289.92000000 0.000499894037 Long ABS-CBDO CORP US N 2 2033-12-28 Variable 0.07330290 N N N N N N ISTAR INC QFFLKWYYS3UPWD86E794 45031UCF6 1085000.00000000 PA USD 1107535.45000000 0.003837068924 Long DBT CORP US N 2 2024-10-01 Fixed 0.04750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408FNE5 39921.30810000 PA USD 47269.08000000 0.000163764255 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06500000 N N N N N N SPRINT CAPITAL CORP 549300L17W0GQBR1PO80 852060AD4 5720000.00000000 PA USD 6812176.80000000 0.023600862537 Long DBT CORP US N 2 2028-11-15 Fixed 0.06875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A83J0 74761.37530000 PA USD 82513.19000000 0.000285867867 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179SUV7 13884613.91400000 PA USD 14638169.40000000 0.050714101225 Long ABS-MBS USGA US N 2 2047-01-20 Fixed 0.03500000 N N N N N N CAPITAL ONE FINANCIAL CORP ZUE8T73ROZOF6FLBAR73 14040HBW4 20732000.00000000 PA USD 22622999.93000000 0.078377635695 Long DBT CORP US N 2 2028-01-31 Fixed 0.03800000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H15S5 28376.83200000 PA USD 30568.82000000 0.000105906017 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224LRF6 35.46560000 PA USD 37.37000000 0.000000129468 Long ABS-MBS USGA US N 2 2022-08-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YWFD4 582436.93290000 PA USD 627762.35000000 0.002174889666 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TCX1 37682188.82020000 PA USD 39668424.53000000 0.137431699423 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ATYD3 8648.97340000 PA USD 9634.11000000 0.000033377481 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373UBT3 4036.87430000 PA USD 4400.60000000 0.000015245927 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207G2W8 249.06440000 PA USD 283.55000000 0.000000982362 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378FH99 720.78070000 PA USD 830.24000000 0.000002876375 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140QCVU7 25057397.32300000 PA USD 26201362.73000000 0.090774913545 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 0.03000000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DX63 24453.95470000 PA USD 26682.80000000 0.000092442858 Long ABS-MBS USGA US N 2 2033-06-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XTLQ9 131435.30300000 PA USD 141730.63000000 0.000491027349 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04000000 N N N N N N EXPORT CREDIT BANK TURKEY INC 789000JVRVYLAXGDWR11 90015LAA5 605000.00000000 PA USD 609726.56000000 0.002112404470 Long DBT CORP TR N 2 2021-02-08 Fixed 0.05375000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31393MHY0 1927.37880000 PA USD 40.84000000 0.000000141490 Long ABS-CBDO USGSE US N 2 2023-03-15 Variable 0.05941500 N N N N N N SABERT CORPORATION 54930029JPYBTHDWT603 78516EAB8 2375000.00000000 PA USD 2363125.00000000 0.008187072931 Long LON CORP US N 2 2026-12-10 Variable 0.06187500 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31396NCS3 199589.93870000 PA USD 186674.89000000 0.000646737239 Long ABS-CBDO USGSE US N 2 2036-04-15 Fixed 0.00000000 N N N N N N GENERAL MTRS FINL CO INC 5493008B6JBRUJ90QL97 37045XBF2 16735000.00000000 PA USD 17069700.00000000 0.059138166121 Long DBT CORP US N 2 2021-03-01 Fixed 0.04200000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AC24 105.46080000 PA USD 113.76000000 0.000000394122 Long ABS-MBS USGA US N 2 2025-03-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224LA64 172.47400000 PA USD 176.63000000 0.000000611936 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YM7J2 500706.76070000 PA USD 540767.21000000 0.001873494033 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.04000000 N N N N N N LONDON CLEARING HOUSE N/A N/A -4230000.00000000 NC USD -191933.16000000 -0.00066495457 N/A DIR CORP GB N 2 LONDON CLEARING HOUSE N/A Y 2027-03-18 0.00000000 USD 0.00000000 USD -4324044.62000000 USD -191933.16000000 N N N CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP N/A 226373AQ1 4430000.00000000 PA USD 4097528.50000000 0.014195933210 Long DBT CORP US N 2 2027-05-01 Fixed 0.05625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128LDHM9 309360.05560000 PA USD 347529.21000000 0.001204018825 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 0.05000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 3137A6ZL9 1118137.92070000 PA USD 1223688.46000000 0.004239482324 Long ABS-CBDO USGSE US N 2 2041-02-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M9AX0 668944.56700000 PA USD 715079.93000000 0.002477402396 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177WEA4 13753.27650000 PA USD 14904.40000000 0.000051636460 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.04000000 N N N N N N COMM 2012-LC4 MTG TR N/A 126192AG8 166000.00000000 PA USD 174027.69000000 0.000602920873 Long ABS-MBS CORP US N 2 2044-12-10 Variable 0.05536803 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31412LJA9 1785.53480000 PA USD 1980.85000000 0.000006862676 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193SW47 209646.76440000 PA USD 224497.13000000 0.000777772811 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407JQ47 2675.24510000 PA USD 3164.64000000 0.000010963930 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06000000 N N N N N N PT BUKIT MAKMUR MANDIRIR UTAMA 254900Z05E8W7X31K395 74445NAA5 2778000.00000000 PA USD 2783250.42000000 0.009642602136 Long DBT CORP ID N 2 2022-02-13 Fixed 0.07750000 N N N N N N ROYAL BANK OF SCOTLAND GRP PLC (UNGTD) 2138005O9XJIJN4JPN90 780099CE5 27112000.00000000 PA USD 29577045.54000000 0.102470004308 Long DBT CORP GB N 2 2022-12-15 Fixed 0.06125000 N N N N N N DRYDEN 36 SENIOR LOAN FUND 549300XLLT7H0EYXK263 26249KAR2 25370000.00000000 PA USD 25362389.00000000 0.087868279696 Long ABS-CBDO CORP KY N 2 2029-04-15 Variable 0.03111250 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389DHB6 632.91380000 PA USD 741.45000000 0.000002568761 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YXHC2 467387.10730000 PA USD 503759.31000000 0.001745279750 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 0.04000000 N N N N N N SPRINGLEAF FINANCE CORPORATION 5493008I795YYBFWFU90 85172FAM1 5415000.00000000 PA USD 5956500.00000000 0.020636360715 Long DBT CORP US N 2 2025-03-15 Fixed 0.06875000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31392ED23 24026.82350000 PA USD 24517.00000000 0.000084939420 Long ABS-CBDO USGSE US N 2 2032-10-25 Variable 0.02626750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376D2H4 30.73180000 PA USD 34.18000000 0.000000118416 Long ABS-MBS USGSE US N 2 2026-07-01 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31296MEE5 11393.64040000 PA USD 12723.84000000 0.000044081885 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.05000000 N N N N N N OCCIDENTAL PETROLEUM CORP IM7X0T3ECJW4C1T7ON55 674599CP8 5018000.00000000 PA USD 5113400.41000000 0.017715432778 Long DBT CORP US N 2 2022-08-15 Fixed 0.02700000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RFP4 951.48620000 PA USD 1073.73000000 0.000003719949 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N LAGARDERE SCA 969500VX2NV2AQQ65G45 N/A 3100000.00000000 PA 3451950.07000000 0.011959319536 Long DBT CORP FR N 2 2024-06-21 Fixed 0.01625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GEJ27 17039.90260000 PA USD 18843.90000000 0.000065284901 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390XJE1 15267.30360000 PA USD 18062.20000000 0.000062576693 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176W7F2 10347.99000000 PA USD 11002.70000000 0.000038118976 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.03500000 N N N N N N CAMDEN PROPERTY TRUST 5493002MYX22OHYJBD89 133131AU6 5855000.00000000 PA USD 6376093.36000000 0.022090046593 Long DBT CORP US N 2 2024-01-15 Fixed 0.04250000 N N N N N N WILLIAM (CARTER) CO TGI2A0HXEYNQPU7TYV27 96926JAC1 2460000.00000000 PA USD 2617255.50000000 0.009067510884 Long DBT CORP US N 2 2027-03-15 Fixed 0.05625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140HEAW2 17906082.95900000 PA USD 18924631.09000000 0.065564595581 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36193NXN5 2854285.14170000 PA USD 3043981.50000000 0.010545907872 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AHHY5 26814.17530000 PA USD 29639.61000000 0.000102686759 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H8L86 1050003.25100000 PA USD 1090564.04000000 0.003778271285 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 0.03000000 N N N N N N ECOBANK TRANSNATIONAL INC 213800USCE9Y111R4656 27889PAA1 310000.00000000 PA USD 346134.38000000 0.001199186421 Long DBT CORP TG N 2 2024-04-18 Fixed 0.09500000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A 48600000.00000000 NC USD 4948682.36000000 0.017144765255 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-05-04 0.00000000 USD 0.00000000 USD 48600000.00000000 USD 1.00000000 2.61000000 USD 2022-04-29 XXXX 3631622.36000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419EL98 329797.87900000 PA USD 358577.92000000 0.001242297205 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04000000 N N N N N N WFRBS COML MTG TR 2013-C11 N/A 92937EAL8 1774872.00000000 PA USD 1811846.31000000 0.006277161758 Long ABS-MBS CORP US N 2 2045-03-15 Variable 0.04260562 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31387XRW7 71.73360000 PA USD 82.02000000 0.000000284159 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07500000 N N N N N N CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 549300PXR5FKNXF0OH19 225433AH4 19558000.00000000 PA USD 20582857.58000000 0.071309539759 Long DBT CORP GG N 2 2022-09-15 Fixed 0.03800000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132DMDT9 29990573.69600000 PA USD 31940746.74000000 0.110659073490 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292HYK4 25723.69360000 PA USD 28122.38000000 0.000097430299 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180HJG4 20095.65540000 PA USD 21890.66000000 0.000075840435 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.04000000 N N N N N N MED PARENTCO LP 549300660CLPRNK19Z91 58401DAF1 810000.00000000 PA USD 798660.00000000 0.002766966481 Long LON CORP US N 2 2027-08-30 Variable 0.09853380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128KLR66 2485.31810000 PA USD 2934.88000000 0.000010167924 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.06500000 N N N N N N MAGNETITE XXI LTD 2019-21A A N/A 55954PAC8 18545000.00000000 PA USD 18569108.50000000 0.064332883601 Long ABS-CBDO CORP KY N 2 2030-04-20 Variable 0.03099130 N N N N N N LIBERTY PPTY LTD PARTNERSHIP 549300N6GNCW2Y4RH795 53117CAQ5 8293000.00000000 PA USD 9230308.36000000 0.031978506309 Long DBT CORP US N 2 2024-02-15 Fixed 0.04400000 N N N N N N BONITRON DESIGNATED ACTIVITY CO N/A 09821LAA9 1975000.00000000 PA USD 2085476.56000000 0.007225156812 Long DBT CORP IE N 2 2022-10-30 Fixed 0.08750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31296PKS0 47690.02990000 PA USD 53194.38000000 0.000184292523 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205UP53 90.67770000 PA USD 98.26000000 0.000000340422 Long ABS-MBS USGA US N 2 2024-07-15 Fixed 0.08000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MF5 17534000.00000000 PA USD 18564386.39000000 0.064316523798 Long DBT CORP US N 2 2025-04-24 Variable 0.03352000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312945QT8 94657.39270000 PA USD 104737.83000000 0.000362865380 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36211HWS6 293.83480000 PA USD 331.89000000 0.000001149836 Long ABS-MBS USGA US N 2 2029-08-15 Fixed 0.07000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 N/A 2497000.00000000 PA 2915065.52000000 0.010099277021 Long EP CORP GB N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390HDT9 935.10760000 PA USD 1097.07000000 0.000003800811 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406B5Q9 10452.39830000 PA USD 11488.32000000 0.000039801412 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.04500000 N N N N N N COMCAST CORP NEW 51M0QTTNCGUN7KFCFZ59 20030NCJ8 3341000.00000000 PA USD 3898211.35000000 0.013505396720 Long DBT CORP US N 2 2038-03-01 Fixed 0.03900000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371BJH5 199.58900000 PA USD 215.16000000 0.000000745424 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 0.07000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAA0 18355000.00000000 PA USD 19786044.09000000 0.068548970531 Long DBT CORP US N 2 2024-02-01 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QQQ47 15408.84700000 PA USD 16510.08000000 0.000057199356 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 0.03500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128UGZV2 181412.90220000 PA USD 189117.00000000 0.000655197956 Long ABS-MBS USGSE US N 2 2041-07-01 Variable 0.04408000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128P7RY1 17149319.22970000 PA USD 18106539.35000000 0.062730307619 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.03500000 N N N N N N SANCHEZ ENERGY CORP 549300SB0HTIM17TVR61 N/A 3099800.72000000 PA USD 3099800.72000000 0.010739294183 Long LON CORP US N 3 2020-05-11 Variable 0.06782080 N N N N N N CHESAPEAKE ENERGY CORP X2MT1W32SPAZ9WSKLE78 165167DA2 3630000.00000000 PA USD 1270500.00000000 0.004401661426 Long DBT CORP US N 2 2024-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419FCX2 109351.17860000 PA USD 118842.53000000 0.000411731271 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180C4V8 1920479.01690000 PA USD 2038386.06000000 0.007062011250 Long ABS-MBS USGA US N 2 2043-02-15 Fixed 0.03500000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A -174.00000000 NC USD -257605.06000000 -0.00089247560 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Short UST NOTES UNDERLYING TREAS 5 YEAR NOTE GENERIC IV FOR FUTURES TRADING 2020-06-30 -21100894.94000000 USD -257605.06000000 N N N GS MTG SECS TR 2013-GCJ16 N/A 36248GAT7 970000.00000000 PA USD 848354.34000000 0.002939133077 Long ABS-MBS CORP US N 2 2046-11-10 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A9FD8 10992.91820000 PA USD 12286.25000000 0.000042565850 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N BANCO DO BRASIL SA GRAND CAYMAN BRANCH QE0Q0253K88YAGNPE356 05959LAG8 298000.00000000 PA USD 315135.00000000 0.001091788723 Long DBT CORP KY N 2 2023-04-19 Fixed 0.04875000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31396LZK9 149806.15330000 PA USD 38552.64000000 0.000133566051 Long ABS-CBDO USGSE US N 2 2036-12-25 Variable 0.05013250 N N N N N N GENERALI FINANCE BV 724500SJJXADYHYHO803 N/A 1350000.00000000 PA 1623365.53000000 0.005624167992 Long EP CORP NL N 2 N N N TULLOW OIL PLC 2138003EYHWO75RKS857 N/A 1470000.00000000 PA USD 1058400.00000000 0.003666838610 Long DBT CORP GB N 2 2022-04-15 Fixed 0.06250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31368HGY3 971.85430000 PA USD 1028.97000000 0.000003564878 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36178WHJ1 692341.93300000 PA USD 739853.97000000 0.002563232334 Long ABS-MBS USGA US N 2 2042-11-20 Fixed 0.04000000 N N N N N N LANDESK GROUP INC N/A 51501EAE6 1262000.00000000 PA USD 1230450.00000000 0.004262907754 Long LON CORP US N 2 2025-01-20 Variable 0.10680000 N N N N N N PEMEX PROJ FDG MASTER TR N/A 706451BG5 4853000.00000000 PA USD 4855426.50000000 0.016821679288 Long DBT CORP MX N 2 2035-06-15 Fixed 0.06625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J2SA2 220394.99030000 PA USD 233041.10000000 0.000807373491 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31386HCU3 1511.28660000 PA USD 1783.99000000 0.000006180653 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ATFZ5 18316.59120000 PA USD 20192.90000000 0.000069958527 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAS0 24065000.00000000 PA USD 25749550.00000000 0.089209603300 Long DBT CORP US N 2 2029-12-15 Fixed 0.04625000 N N N N N N VOLKSWAGEN INTL FINANCE NV 5299004PWNHKYTR23649 N/A 7214000.00000000 PA 8008585.46000000 0.027745833689 Long EP CORP NL N 2 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQYC1 122990.00850000 PA USD 135588.79000000 0.000469748875 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MGJ30 178404.34480000 PA USD 191343.33000000 0.000662911101 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M73F1 182498.72180000 PA USD 204905.13000000 0.000709896109 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 0.05000000 N N N N N N BANK 2017-BNK7 N/A 06650AAU1 1024000.00000000 PA USD 947742.21000000 0.003283463461 Long ABS-MBS CORP US N 2 2050-11-15 Fixed 0.02600000 N N N N N N CPT MORTGAGE TRUST 2019 N/A 12654YAN9 1196000.00000000 PA USD 1151687.24000000 0.003990033294 Long ABS-MBS CORP US N 2 2039-11-13 Variable 0.02996800 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A83G6 58944.57210000 PA USD 65056.38000000 0.000225388554 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CY4 18481000.00000000 PA USD 21795707.25000000 0.075511470974 Long DBT CORP US N 2 2038-03-25 Fixed 0.04780000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31398SD91 532149.90190000 PA USD 102981.54000000 0.000356780694 Long ABS-CBDO USGSE US N 2 2040-12-25 Variable 0.04423250 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GEHF0 28263.30430000 PA USD 30901.12000000 0.000107057275 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N ION MEDIA NETWORKS INC N/A 46205DAK3 3319094.96000000 PA USD 3273457.40000000 0.011340929689 Long LON CORP US N 2 2024-12-18 Variable 0.04625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224S2C5 116.78010000 PA USD 125.24000000 0.000000433895 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 0.07500000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375UQK9 17255984.53450000 PA USD 17271314.75000000 0.059836662672 Long ABS-CBDO USGA US N 2 2064-09-20 Variable 0.02234380 N N N N N N BAYER AG 549300J4U55H3WP1XT59 N/A 6400000.00000000 PA 7065279.97000000 0.024477741293 Long EP CORP DE N 2 N N N GS MTG SECS TR 2013-GC10 N/A 36192CAQ8 586000.00000000 PA USD 600463.95000000 0.002080314055 Long ABS-MBS CORP US N 2 2046-02-10 Variable 0.04402826 N N N N N N HALLIBURTON CO ENYF8GB5SMQZ25S06U51 406216BJ9 5447000.00000000 PA USD 6288616.35000000 0.021786981515 Long DBT CORP US N 2 2035-11-15 Fixed 0.04850000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36192XMK2 174567.04310000 PA USD 186932.53000000 0.000647629836 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206XC50 1486.16070000 PA USD 1704.95000000 0.000005906818 Long ABS-MBS USGA US N 2 2031-05-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XRA74 287691.64960000 PA USD 317282.12000000 0.001099227445 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.05000000 N N N N N N COMM 2012-CCRE1 MTG TR N/A 12624BAL0 2108000.00000000 PA USD 2196459.48000000 0.007609658377 Long ABS-MBS CORP US N 2 2045-05-15 Variable 0.05319888 N N N N N N TIAA ASSET MANAGEMENT FINANCE LLC N/A 87246YAC0 3853000.00000000 PA USD 4293528.67000000 0.014874977986 Long DBT CORP US N 2 2024-11-01 Fixed 0.04125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225AVY3 243.10350000 PA USD 271.22000000 0.000000939644 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07000000 N N N N N N ANASTASIA PARENT LLC N/A 03275UAB1 2555406.85600000 PA USD 1978855.96000000 0.006855768554 Long LON CORP US N 2 2025-08-10 Variable 0.05353380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQY80 15317.19000000 PA USD 16886.24000000 0.000058502566 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N HTA GROUP LTD/MAURITIUS 213800WEFU8O8X6EPU13 40435WAA8 1755000.00000000 PA USD 1798875.00000000 0.006232222510 Long DBT CORP MU N 2 2022-03-08 Fixed 0.09125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LT4K1 107411.93830000 PA USD 119032.12000000 0.000412388107 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04500000 N N N N N N SHEARERS FOODS LLC 549300AQWIJSYS2CIH04 82087UAD9 1823004.44000000 PA USD 1800216.88000000 0.006236871468 Long LON CORP US N 2 2022-06-30 Variable 0.08353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383RXZ0 56.07140000 PA USD 65.86000000 0.000000228172 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BJV1 314.96350000 PA USD 355.43000000 0.000001231391 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292GZ58 400.01230000 PA USD 451.32000000 0.000001563603 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.06000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -20000000.00000000 NC USD -973097.20000000 -0.00337130610 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-08-05 0.00000000 USD 0.00000000 USD -20000000.00000000 USD 1.00000000 1.97000000 USD 2024-08-01 XXXX -417097.20000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375DC35 171.31610000 PA USD 186.99000000 0.000000647828 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N HESS MIDSTREAM PARTNERS LP N/A 428104AA1 2040000.00000000 PA USD 1989000.00000000 0.006890912694 Long DBT CORP US N 2 2028-06-15 Fixed 0.05125000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378CW73 98.03750000 PA USD 112.55000000 0.000000389930 Long ABS-MBS USGSE US N 2 2027-08-01 Fixed 0.07500000 N N N N N N INTERCONTINENTAL EXCHANGE N/A N/A -8300000.00000000 NC -13825.51000000 -0.00004789863 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE N/A ITRAXX EUROPE S25 06/20/21 ITXEB525 Y 2021-06-20 0.00000000 EUR 0.00000000 EUR -9412042.29000000 EUR -13825.51000000 N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A -11000000.00000000 NC USD -1010312.49000000 -0.00350023889 N/A DIR CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 N/A N/A NC USD N/A N/A DIR CORP US 2029-05-17 0.00000000 USD 0.00000000 USD -11000000.00000000 USD 1.00000000 2.45000000 USD 2022-05-13 XXXX -699562.49000000 N N N DENBURY RESOURCES INC 549300KCWA5W52MS5559 247916AF6 4001000.00000000 PA USD 3500875.00000000 0.012128820501 Long DBT CORP US N 2 2021-05-15 Fixed 0.09000000 N N N N N N BEECHWOOD PARK CLO LTD N/A 07355TAA0 11400000.00000000 PA USD 11403420.00000000 0.039507275834 Long ABS-CBDO CORP KY N 2 2033-01-17 Variable 0.03233170 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128M76E1 208162.89590000 PA USD 233460.04000000 0.000808824913 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.05000000 N N N N N N ASURION LLC 549300KNQVXGIOXWK278 04649VAU4 8606000.00000000 PA USD 8616757.50000000 0.029852852508 Long LON CORP US N 2 2025-08-04 Variable 0.08103380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WHVQ2 4849254.79000000 PA USD 5164583.40000000 0.017892756818 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31307UCF3 182714.00430000 PA USD 192593.20000000 0.000667241290 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620A5S42 32060.43430000 PA USD 37520.69000000 0.000129990849 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N QATAR ST 52990074F6OJOAXK4P65 74727PBB6 3895000.00000000 PA USD 4974645.31000000 0.017234714185 Long DBT NUSS QA N 2 2049-03-14 Fixed 0.04817000 N N N N N N FRONT RANGE BIDCO INC N/A 98919VAB1 1595000.00000000 PA USD 1573068.75000000 0.005449914237 Long DBT CORP US N 2 2028-03-01 Fixed 0.06125000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395TPY4 3123.93430000 PA USD 3127.32000000 0.000010834635 Long ABS-CBDO USGSE US N 2 2020-04-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WJXB9 3502717.96100000 PA USD 3654968.15000000 0.012662677939 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 0.03000000 N N N N N N BCP RAPTOR LLC 549300T77NXSQHG00684 05549KAB8 3252146.17600000 PA USD 2804976.08000000 0.009717870928 Long LON CORP US N 2 2024-06-24 Variable 0.05853380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36179KV27 22269.93390000 PA USD 23637.19000000 0.000081891308 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03500000 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAN6 15636000.00000000 PA USD 17300599.33000000 0.059938119427 Long DBT CORP US N 2 2029-06-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212MBK4 630.88960000 PA USD 730.09000000 0.000002529404 Long ABS-MBS USGA US N 2 2030-10-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128L1GA2 2950.11370000 PA USD 3335.10000000 0.000011554491 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335CA87 2483531.66700000 PA USD 2709110.85000000 0.009385744769 Long ABS-MBS USGSE US N 2 2044-07-01 Fixed 0.04000000 N N N N N N AMERICAN INTERNATIONAL GROUP INC ODVCVCQG2BP6VHV36M30 026874DG9 6125000.00000000 PA USD 6213398.45000000 0.021526388262 Long DBT CORP US N 2 2021-03-01 Fixed 0.03300000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208JKR2 495.65180000 PA USD 544.93000000 0.000001887916 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BYU6 5827.66600000 PA USD 6433.58000000 0.000022289209 Long ABS-MBS USGA US N 2 2033-06-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128MFUA4 15077382.91800000 PA USD 16067086.46000000 0.055664600324 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 0.03500000 N N N N N N VICI PROPERTIES / NOTE N/A 92564RAE5 410000.00000000 PA USD 410512.50000000 0.001422225136 Long DBT CORP US N 2 2030-08-15 Fixed 0.04125000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205EWQ5 339.94790000 PA USD 371.68000000 0.000001287689 Long ABS-MBS USGA US N 2 2024-07-15 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31376KFA9 155527.37830000 PA USD 170407.43000000 0.000590378442 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213PM40 872.29070000 PA USD 1004.37000000 0.000003479651 Long ABS-MBS USGA US N 2 2031-05-15 Fixed 0.07000000 N N N N N N BANK 2019 N/A 06541RAL7 693000.00000000 PA USD 592797.19000000 0.002053752479 Long ABS-MBS CORP US N 2 2052-12-15 Fixed 0.02500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206LNR6 74.35560000 PA USD 81.38000000 0.000000281941 Long ABS-MBS USGA US N 2 2025-08-15 Fixed 0.07000000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 035240AP5 17929000.00000000 PA USD 21673309.75000000 0.075087423470 Long DBT CORP US N 2 2058-04-15 Fixed 0.04750000 N N N N N N COMM 2013-CCRE7 MTG TR 549300FVY7JUBJ0PIH53 12625FAS5 5924751.00000000 PA USD 6191354.72000000 0.021450017513 Long ABS-MBS CORP US N 2 2046-03-10 Fixed 0.03314000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140EU6S3 14055756.05670000 PA USD 14974140.88000000 0.051878078167 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03500000 N N N N N N CCO HLDGS LLC/CCO HLDGS CAP CORP N/A 1248EPCE1 3170000.00000000 PA USD 3205662.50000000 0.011106053501 Long DBT CORP US N 2 2030-08-15 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JAJ55 277491.46720000 PA USD 292028.83000000 0.001011737140 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AX6L7 40989.60030000 PA USD 45735.24000000 0.000158450249 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.05000000 N N N N N N DC OFFICE TRUST 2019 N/A 23312BAL4 449000.00000000 PA USD 447549.82000000 0.001550541345 Long ABS-MBS CORP US N 2 2045-09-15 Fixed 0.03174400 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408G5Y9 9365.72170000 PA USD 10319.37000000 0.000035751572 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NNJ0 34636.52770000 PA USD 38437.35000000 0.000133166627 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206JCK8 452.42840000 PA USD 517.14000000 0.000001791637 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFNE3 18796.87270000 PA USD 20893.21000000 0.000072384759 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 0.05000000 N N N N N N BAMLL COML MTG SECS TR 2019 N/A 05492PAA6 14236000.00000000 PA USD 15068099.89000000 0.052203600205 Long ABS-MBS CORP US N 2 2032-11-05 Fixed 0.03112000 N N N N N N NIGERIA REPUBLIC OF 549300GSBZD84TNEQ285 65412JAJ2 3230000.00000000 PA USD 3536850.00000000 0.012253456290 Long DBT NUSS NG N 2 2025-11-21 Fixed 0.07625000 N N N N N N CSM BAKERY SUPPLIES LLC 5493001EXHLY7Q2ERI31 60001PAB3 1547725.16000000 PA USD 1498971.82000000 0.005193204596 Long LON CORP US N 2 2020-07-03 Variable 0.05870000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MBXL5 882903.12660000 PA USD 946936.74000000 0.003280672902 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36181BB90 16442.51110000 PA USD 17664.57000000 0.000061199099 Long ABS-MBS USGA US N 2 2043-06-15 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209W5W8 1570.59310000 PA USD 1813.74000000 0.000006283722 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MQN3 8768.51210000 PA USD 9212.14000000 0.000031915561 Long ABS-MBS USGA US N 2 2042-10-20 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YJTS5 273593.27230000 PA USD 293008.46000000 0.001015131079 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312941ZQ3 43173.65950000 PA USD 47784.88000000 0.000165551249 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297EUH6 10730.03340000 PA USD 12554.88000000 0.000043496521 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505EH3 3392000.00000000 PA USD 3726372.03000000 0.012910057478 Long EP CORP US N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31389SRP1 349.81170000 PA USD 399.20000000 0.000001383032 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224YM71 20.60640000 PA USD 21.72000000 0.000000075249 Long ABS-MBS USGA US N 2 2022-12-15 Fixed 0.08000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38374GZM7 110918.51520000 PA USD 22154.81000000 0.000076755586 Long ABS-CBDO USGA US N 2 2034-05-16 Variable 0.04841500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A2X80 4849478.09000000 PA USD 5208036.86000000 0.018043301815 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 0.04000000 N N N N N N ACCENTRO REAL ESTATE AG 391200VKLY50XNAFCM46 N/A 2200000.00000000 PA 2387000.80000000 0.008269790906 Long DBT CORP DE N 2 2023-02-13 Fixed 0.03625000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312944LX7 68595.19840000 PA USD 75921.60000000 0.000263031230 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31380XXJ6 485.91850000 PA USD 531.44000000 0.000001841179 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140FFNR8 383330.89270000 PA USD 411125.37000000 0.001424348431 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 0.04000000 N N N N N N JPMCC 2019 N/A 46651MAN6 1029000.00000000 PA USD 1030961.17000000 0.003571776477 Long ABS-MBS CORP US N 2 2036-07-15 Variable 0.03818500 N N N N N N MATTEL INC 549300VELLG24KHTJ564 577081BB7 2592000.00000000 PA USD 2724062.40000000 0.009437544581 Long DBT CORP US N 2 2025-12-31 Fixed 0.06750000 N N N N N N AMERICAN HOMES 4 RENT 2014-SFR3 TR N/A 02665XAE9 478000.00000000 PA USD 535594.17000000 0.001855571978 Long ABS-CBDO CORP US N 2 2036-12-17 Fixed 0.06418000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BDY5 313227.01490000 PA USD 312044.52000000 0.001081081721 Long ABS-CBDO USGA US N 2 2060-07-20 Variable 0.01989500 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31383VKS1 623.69960000 PA USD 733.57000000 0.000002541461 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.07500000 N N N N N N CDS US INTERMEDIATE HOLDINGS INC 549300VTG63IM7QSFH59 12512KAB7 296000.00000000 PA USD 248344.00000000 0.000860390559 Long LON CORP US N 2 2023-07-08 Variable 0.10194630 N N N N N N OPEN TEXT CORPORATION 549300UQROQS42RKHM85 683715AB2 7059000.00000000 PA USD 7474069.20000000 0.025893996142 Long DBT CORP CA N 2 2026-06-01 Fixed 0.05875000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406JZ63 159.47610000 PA USD 159.81000000 0.000000553663 Long ABS-MBS USGSE US N 2 2020-06-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206ND36 1220.42530000 PA USD 1355.63000000 0.000004696595 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N TRICON AMERN HOMES 2016-SFR1 TR N/A 89613BAB3 329000.00000000 PA USD 331732.38000000 0.001149290532 Long ABS-CBDO CORP US N 2 2033-11-17 Fixed 0.02989000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206MZ26 34.68350000 PA USD 37.43000000 0.000000129676 Long ABS-MBS USGA US N 2 2025-11-15 Fixed 0.07500000 N N N N N N DBGS 2018-C1 MTG TR N/A 23307DAG8 1512000.00000000 PA USD 1413477.02000000 0.004897006908 Long ABS-MBS CORP US N 2 2051-10-15 Variable 0.02886602 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297FT93 52666.52440000 PA USD 58862.83000000 0.000203930931 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 0.05000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBG4 5829000.00000000 PA USD 5845743.86000000 0.020252644832 Long DBT CORP US N 2 2021-09-09 Variable 0.02785000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419ERZ4 1082244.10160000 PA USD 1197295.63000000 0.004148044070 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208HMK9 354.57600000 PA USD 400.30000000 0.000001386843 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295DN96 23097.40620000 PA USD 25814.85000000 0.000089435835 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N OIL AND GAS HOLDING CO BSCC/THE 549300OBH16L6TS6IW50 67778M2C3 615000.00000000 PA USD 706481.25000000 0.002447612173 Long DBT CORP BH N 2 2024-11-07 Fixed 0.07625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JM4S8 2095330.48600000 PA USD 2348498.79000000 0.008136400263 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 0.05500000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 67054KAA7 10351000.00000000 PA USD 10855093.70000000 0.037607593249 Long DBT CORP FR N 2 2026-05-01 Fixed 0.07375000 N N N N N N GREECE GOVERNMENT OF 2138003EKTMKZ5598902 N/A 2100000.00000000 PA 2806736.56000000 0.009723970131 Long DBT NUSS GR N 2 2029-03-12 Fixed 0.03875000 N N N N N N BIZ FINANCE PLC 254900R5STMV7BZYC307 N/A 1451250.01000000 PA USD 1521997.29000000 0.005272976594 Long DBT CORP GB N 2 2022-04-27 Fixed 0.09625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NG66 116084.81820000 PA USD 128259.52000000 0.000444356538 Long ABS-MBS USGSE US N 2 2027-07-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205L4T4 259.93650000 PA USD 288.43000000 0.000000999268 Long ABS-MBS USGA US N 2 2025-06-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378XCV6 100.90210000 PA USD 109.69000000 0.000000380022 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209KS33 181.59720000 PA USD 203.40000000 0.000000704681 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P N/A 17320QAN9 1306000.00000000 PA USD 1325916.89000000 0.004593653860 Long ABS-MBS CORP US N 2 2035-05-10 Variable 0.03517578 N N N N N N TECO FINANCE INC N/A 87875UAK8 2396000.00000000 PA USD 2398372.04000000 0.008309186694 Long DBT CORP US N 2 2020-03-15 Fixed 0.05150000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAD5 4751000.00000000 PA USD 5107705.08000000 0.017695701243 Long DBT CORP US N 2 2024-08-15 Fixed 0.04250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GR6X4 241041.69810000 PA USD 262709.54000000 0.000910160132 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140JL2P8 22939.13800000 PA USD 23821.46000000 0.000082529713 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224DVK8 96.85480000 PA USD 101.22000000 0.000000350677 Long ABS-MBS USGA US N 2 2022-11-15 Fixed 0.07000000 N N N N N N ATKINS NUTRITIONL HLDGS II INC N/A 04761PAF2 1202166.28000000 PA USD 1199160.86000000 0.004154506180 Long LON CORP US N 2 2024-07-07 Variable 0.05402750 N N N N N N ARAMARK SERVICES INC 42YMHYH0XMHJEXDUB065 038522AN8 4603000.00000000 PA USD 4764105.00000000 0.016505294932 Long DBT CORP US N 2 2026-06-01 Fixed 0.04750000 N N N N N N BRACKET INTERMEDIATE HLDG CORP 54930011OZELK2VOFB56 10378RAF0 1966150.48000000 PA USD 1966150.48000000 0.006811750277 Long LON CORP US N 2 2025-09-05 Variable 0.06159380 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PEE4 860000.00000000 PA USD 850110.00000000 0.002945215580 Long DBT NUSS DO N 2 2060-01-30 Fixed 0.05875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297GML1 28438.96730000 PA USD 31387.73000000 0.000108743140 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.04500000 N N N N N N PAMPA ENERGIA S.A 254900QNIK0CVURGML24 71647XAA5 1133000.00000000 PA USD 993145.31000000 0.003440763008 Long DBT CORP AR N 2 2023-07-21 Fixed 0.07375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209KRX8 1917.96100000 PA USD 2179.56000000 0.000007551109 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 0.07000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCC4 35208000.00000000 PA USD 33714740.70000000 0.116805095360 Long DBT CORP MX N 2 2047-09-21 Fixed 0.06750000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31296PHP0 2800.43290000 PA USD 3121.71000000 0.000010815199 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.05000000 N N N N N N KUEHG CORP N/A 48244EAJ3 4875316.04000000 PA USD 4789998.01000000 0.016595001554 Long LON CORP US N 2 2025-02-21 Variable 0.05694630 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A2PL7 6106.83630000 PA USD 6658.41000000 0.000023068135 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200QLN2 64.60610000 PA USD 75.07000000 0.000000260080 Long ABS-MBS USGA US N 2 2032-03-15 Fixed 0.07000000 N N N N N N UNITED PF HOLDINGS LLC N/A 91132UAH6 206567.80000000 PA USD 205276.75000000 0.000711183590 Long LON CORP US N 2 2026-12-30 Variable 0.00000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 91911KAN2 2322000.00000000 PA USD 2390684.76000000 0.008282554027 Long DBT CORP CA N 2 2025-11-01 Fixed 0.05500000 N N N N N N NATIONSTAR HECM LOAN TRUST N/A 63862TAA9 3460935.54000000 PA USD 3462191.17000000 0.011994799941 Long ABS-CBDO CORP US N 2 2028-07-25 Fixed 0.03187700 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YPA36 212278.36350000 PA USD 229262.29000000 0.000794281761 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.04000000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31395EWW3 1099.61600000 PA USD 1352.45000000 0.000004685578 Long ABS-CBDO USGSE US N 2 2024-08-15 Variable 0.36019750 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31388GVM0 593.60470000 PA USD 696.41000000 0.000002412720 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 0.07000000 N N N N N N CENTENE CORP DEL 549300Z7JJ4TQSQGT333 15135BAL5 2125000.00000000 PA USD 2186093.75000000 0.007573746190 Long DBT CORP US N 2 2025-04-01 Fixed 0.05250000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JFY9 81131.88500000 PA USD 88211.92000000 0.000305611181 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207N4U5 280.85940000 PA USD 315.32000000 0.000001092429 Long ABS-MBS USGA US N 2 2027-11-15 Fixed 0.07500000 N N N N N N OOREDOO INTERNATIONAL FINANCE LTD 549300BHXCDJ03WU7N77 74735K2A9 2075000.00000000 PA USD 2116500.00000000 0.007332637866 Long DBT CORP BM N 2 2023-02-21 Fixed 0.03250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290SFE6 72120.91500000 PA USD 79725.22000000 0.000276208914 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176KEJ2 56296.50680000 PA USD 61360.26000000 0.000212583305 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04000000 N N N N N N CLEAR CHANNEL OUTDOOR HOLDINGS INC N/A 18453H106 32596.00000000 NS USD 67473.72000000 0.000233763455 Long EC CORP US N 1 N N N MEXICO UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAH3 1145000.00000000 PA USD 1175342.50000000 0.004071987206 Long DBT NUSS MX N 2 2030-04-16 Fixed 0.03250000 N N N N N N GS MORTGAGE SECURITIES CORPORATION II N/A 36192BAL1 1837000.00000000 PA USD 1898593.51000000 0.006577698400 Long ABS-MBS CORP US N 2 2045-01-10 Variable 0.05651068 N N N N N N ZIGGO BOND CO 213800JYI4P7V5QDOG59 98953GAD7 3960000.00000000 PA USD 4008708.00000000 0.013888213597 Long DBT CORP NL N 2 2030-02-28 Fixed 0.05125000 N N N N N N JBS USA LLC / JBS USA FIN INC N/A 466112AR0 13055000.00000000 PA USD 13365056.25000000 0.046303386511 Long DBT CORP US N 2 2025-06-15 Fixed 0.05750000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31374VRU0 29.24280000 PA USD 32.31000000 0.000000111938 Long ABS-MBS USGSE US N 2 2025-09-01 Fixed 0.07500000 N N N N N N FNMA/FHLG TBA ISSUER N/A 01F022436 -35100000.00000000 PA USD -36027134.91000000 -0.12481641090 Short ABS-MBS USGA US N 2 2035-03-01 Fixed 0.02500000 N N N N N N ALMONDE INC 549300ZB2RO6QC7YTK71 02034DAC1 9617752.83000000 PA USD 9152926.84000000 0.031710417169 Long LON CORP US N 2 2024-06-13 Variable 0.05277130 N N N N N N GEOPARK LTD 529900ZR5QI19AH4KZ07 37255BAA7 1200000.00000000 PA USD 1203187.56000000 0.004168456727 Long DBT CORP BM N 2 2024-09-21 Fixed 0.06500000 N N N N N N HOME PARTNERS AMER 2017-1 TR N/A 43730TAL7 360000.00000000 PA USD 360441.90000000 0.001248754984 Long ABS-CBDO CORP US N 2 2034-07-17 Variable 0.05197500 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213MWF1 1641.00720000 PA USD 1903.48000000 0.000006594627 Long ABS-MBS USGA US N 2 2031-07-15 Fixed 0.07000000 N N N N N N ILLINOIS ST N/A 452152BM2 7610000.00000000 PA USD 9569042.30000000 0.033152053824 Long DBT MUN US N 2 2035-02-01 Fixed 0.06630000 N N N N N N HUDSON YDS 2019-30HY MTG TR N/A 44421GAL7 861000.00000000 PA USD 888875.82000000 0.003079520196 Long ABS-MBS CORP US N 2 2039-07-10 Variable 0.03443126 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31408FPH6 10145.54790000 PA USD 10627.13000000 0.000036817810 Long ABS-MBS USGSE US N 2 2035-09-01 Variable 0.04210000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A56H0 101079.16400000 PA USD 109852.53000000 0.000380585315 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203P2D4 187.09770000 PA USD 200.33000000 0.000000694045 Long ABS-MBS USGA US N 2 2023-04-15 Fixed 0.07500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179MCZ1 66436.66600000 PA USD 70685.97000000 0.000244892331 Long ABS-MBS USGA US N 2 2042-05-20 Fixed 0.03500000 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE 2018-C43 C 549300RVQJTKIK3XGD11 95001LAZ5 401000.00000000 PA USD 439501.61000000 0.001522658232 Long ABS-MBS CORP US N 2 2051-03-15 Fixed 0.04514000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208LLS4 530.13540000 PA USD 601.93000000 0.000002085393 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QWC80 337240.00870000 PA USD 362391.37000000 0.001255508945 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312935RE1 321695.71990000 PA USD 356658.06000000 0.001235645828 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 0.04500000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2017-C33 N/A 61767CAC2 947000.00000000 PA USD 899660.04000000 0.003116882247 Long ABS-MBS CORP US N 2 2050-05-15 Fixed 0.03356000 N N N N N N ARGENTINA REPUBLIC OF 549300KPBYGYF7HCHO27 040114GW4 16696000.00000000 PA USD 8301042.50000000 0.028759054368 Long DBT NUSS AR N 2 2021-04-22 Fixed 0.06875000 N N N N N N FLY FUNDING II S.A.R.L. 54930033GL3A930IIN33 N/A 2011628.80000000 PA USD 1981454.37000000 0.006864770774 Long LON CORP LU N 2 2025-08-09 Variable 0.03480000 N N N N N N HUB INTERNATIONAL LTD 549300JQT6ATTUNS5E06 44332EAT3 1875000.00000000 PA USD 1868306.25000000 0.006472767850 Long LON CORP US N 2 2025-04-25 Variable 0.05691750 N N N N N N WFRBS COML MTG TR 2014-LC14 N/A 96221TAH0 34675055.24600000 PA USD 1310782.97000000 0.004541222225 Long ABS-MBS CORP US N 2 2047-03-15 Variable 0.01207548 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38376MAY3 4452255.04860000 PA USD 4761002.46000000 0.016494546148 Long ABS-CBDO USGA US N 2 2044-01-20 Fixed 0.03000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C0XR4 107815.29760000 PA USD 118859.62000000 0.000411790479 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 0.04500000 N N N N N N GS MTG SECS TR 2012-GCJ7 N/A 36192KAG2 1100469.00000000 PA USD 460071.42000000 0.001593922568 Long ABS-MBS CORP US N 2 2045-05-10 Fixed 0.05000000 N N N N N N WHATABRANDS LLC 254900HMMX4HTWIP0085 96244UAD9 4982512.50000000 PA USD 4882862.25000000 0.016916730750 Long LON CORP US N 2 2026-08-03 Variable 0.04416250 N N N N N N DELEK US HOLDINGS INC 5493003O53JMENV1N385 24664GAD3 1899440.10000000 PA USD 1861451.30000000 0.006449018799 Long LON CORP US N 2 2025-03-31 Variable 0.03853380 N N N N N N PETROBRAS GLOBAL FINANCE BV 549300FNENFFSMO3GT38 71647NAQ2 3354000.00000000 PA USD 4301505.00000000 0.014902612070 Long DBT CORP NL N 2 2026-05-23 Fixed 0.08750000 N N N N N N NYKREDIT REALKREDIT AS LIU16F6VZJSD6UKHD557 N/A 9184000.00000000 PA 10579080.60000000 0.036651342785 Long DBT CORP DK N 2 2036-06-03 Variable 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FE95 90694.36780000 PA USD 99718.40000000 0.000345475509 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419E4N6 208149.71760000 PA USD 226314.05000000 0.000784067551 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04000000 N N N N N N ALLEN MEDIA LLC N/A 01771JAE3 4750000.00000000 PA USD 4666875.00000000 0.016168440512 Long LON CORP US N 2 2027-02-10 Variable 0.07230880 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375DLR2 236.65490000 PA USD 253.64000000 0.000000878738 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M8KV7 183364.16610000 PA USD 198357.40000000 0.000687211425 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416XJZ4 2494394.55330000 PA USD 2711680.02000000 0.009394645687 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04000000 N N N N N N APOLLO AVIATION SECURITIZATION EQUITY TRUST N/A 00255UAA3 11510000.00000000 PA USD 11509769.80000000 0.039875725903 Long ABS-CBDO CORP US N 2 2040-01-16 Fixed 0.03351000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647AZ0 5288000.00000000 PA USD 5458273.60000000 0.018910249793 Long DBT CORP US N 2 2025-05-15 Fixed 0.06500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3129444V0 105121.06240000 PA USD 116315.81000000 0.000402977421 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208MLA1 1465.43390000 PA USD 1627.78000000 0.000005639461 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N BRANDYWINE OPER PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AQ6 14429000.00000000 PA USD 15845998.93000000 0.054898640110 Long DBT CORP US N 2 2027-11-15 Fixed 0.03950000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208MSM8 221.05590000 PA USD 251.63000000 0.000000871774 Long ABS-MBS USGA US N 2 2028-05-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418CTC8 1314408.46000000 PA USD 1353399.20000000 0.004688866630 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31297P2R1 8726.20800000 PA USD 9783.83000000 0.000033896188 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140X3BP2 2538799.82000000 PA USD 2674160.25000000 0.009264658025 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 0.03000000 N N N N N N MOXIE PATRIOT LLC 549300B93KXN86RHX930 62471MAB7 4446095.85200000 PA USD 4234906.30000000 0.014671880131 Long LON CORP US N 2 2020-12-19 Variable 0.07694630 N N N N N N MATCH GROUP INC 549300BIJKT86CPCKK96 57665RAL0 1245000.00000000 PA USD 1219726.50000000 0.004225756069 Long DBT CORP US N 2 2030-08-01 Fixed 0.04125000 N N N N N N PROVINCE CORDOBA 5299006CLM2Z97AATT29 74408DAD6 1893000.00000000 PA USD 1266890.25000000 0.004389155407 Long DBT CORP AR N 2 2024-09-01 Fixed 0.07450000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295T7A6 12437.44190000 PA USD 14543.46000000 0.000050385979 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36291RMC3 22373.48180000 PA USD 26191.07000000 0.000090739254 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 0.06500000 N N N N N N SS and C TECHNOLOGIES INC 549300KY09TR3J12JU49 78466DBF0 5742133.13400000 PA USD 5666049.87000000 0.019630092999 Long LON CORP US N 2 2025-04-16 Variable 0.03353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31378NAA6 354.03130000 PA USD 397.33000000 0.000001376554 Long ABS-MBS USGSE US N 2 2027-12-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385J4V7 2461.73780000 PA USD 2704.28000000 0.000009369008 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138LQSB1 40279.84810000 PA USD 43804.65000000 0.000151761698 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138MAF45 76964.04390000 PA USD 82545.95000000 0.000285981364 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03500000 N N N N N N BX TRUST 2018-EXCL N/A 05608BAS9 1533000.00000000 PA USD 1544537.36000000 0.005351066918 Long ABS-MBS CORP US N 2 2034-04-15 Variable 0.05258500 N N N N N N NATIONSTAR HECM LN TR 2019-1 N/A 63862VAA4 6526880.58000000 PA USD 6550518.33000000 0.022694343848 Long ABS-CBDO CORP US N 2 2029-06-25 Fixed 0.02651300 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208YLY3 121.93020000 PA USD 139.23000000 0.000000482363 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 912828WU0 31431100.00000000 PA USD 34864116.76000000 0.120787121545 Long DBT UST US N 2 2024-07-15 Fixed 0.00125000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNN88 62030.25360000 PA USD 67334.93000000 0.000233282616 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371HVJ4 221.04680000 PA USD 257.61000000 0.000000892492 Long ABS-MBS USGSE US N 2 2029-09-01 Fixed 0.07500000 N N N N N N VOLKSWAGEN INTL FINANCE NV 5299004PWNHKYTR23649 N/A 7000000.00000000 PA 7820034.03000000 0.027092595156 Long EP CORP NL N 2 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404MCH9 55401.03470000 PA USD 60747.53000000 0.000210460495 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCW0 50920000.00000000 PA USD 53160480.00000000 0.184175076150 Long DBT CORP MX N 2 2050-01-23 Fixed 0.07690000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132HNKB4 494373.26450000 PA USD 519963.75000000 0.001801420213 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NDM4 1384.74170000 PA USD 1524.92000000 0.000005283102 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 0.06500000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 31342AU64 71792.86050000 PA USD 75300.53000000 0.000260879526 Long ABS-MBS USGSE US N 2 2033-06-01 Variable 0.04562000 N N N N N N SAPPHIRE AVIATION FINANCE N/A 80307AAB5 2112000.00000000 PA USD 2099131.58000000 0.007272464782 Long ABS-CBDO CORP US N 2 2040-03-15 Fixed 0.04335000 N N N N N N ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC N/A 013092AD3 145000.00000000 PA USD 145181.25000000 0.000502982060 Long DBT CORP US N 2 2023-02-15 Fixed 0.03500000 N N N N N N VICI PPTYS 1 LLC 549300XI4XP4JVS3XU20 92565EAB9 6732909.09000000 PA USD 6598250.91000000 0.022859713904 Long LON CORP US N 2 2024-12-22 Variable 0.03378880 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M65A4 73906.10320000 PA USD 79949.22000000 0.000276984964 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.04000000 N N N N N N MORGAN STANLEY BK OF AMER MERRILL LYNCH TR 2013-C12 N/A 61762XAC1 1299000.00000000 PA USD 1354678.00000000 0.004693297047 Long ABS-MBS CORP US N 2 2046-10-15 Variable 0.04765695 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205HAZ2 57.46020000 PA USD 60.77000000 0.000000210538 Long ABS-MBS USGA US N 2 2024-03-15 Fixed 0.08000000 N N N N N N VALARIS PLC 7N0UJMJLXD0MDT5D5086 91889DAD8 8288000.00000000 PA USD 3190880.00000000 0.011054839365 Long DBT CORP GB N 2 2025-03-15 Fixed 0.05200000 N N N N N N RETAIL OPPTY INVTS PRTNRSHP LP 549300KH0PNTJK9NTE57 76132FAA5 1293000.00000000 PA USD 1395137.12000000 0.004833468119 Long DBT CORP US N 2 2023-12-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417FA65 90936.45850000 PA USD 99371.22000000 0.000344272700 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 0.04500000 N N N N N N WFRBS COML MTG TR 2012-C6 N/A 92936QAS7 702000.00000000 PA USD 743194.13000000 0.002574804356 Long ABS-MBS CORP US N 2 2045-04-15 Variable 0.05578633 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CX6 41514000.00000000 PA USD 46456372.47000000 0.160948620804 Long DBT CORP US N 2 2028-03-25 Fixed 0.04300000 N N N N N N MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY R6ZXK5P01NP6HXSY1S07 575767AN8 23203000.00000000 PA USD 24883704.20000000 0.086209870865 Long DBT CORP US N 2 2070-10-15 Fixed 0.03729000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GJMF3 343617.85690000 PA USD 374721.29000000 0.001298226090 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402NRL4 69023.19470000 PA USD 75582.10000000 0.000261855028 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36200NS85 6561.75900000 PA USD 7260.63000000 0.000025154533 Long ABS-MBS USGA US N 2 2034-06-15 Fixed 0.05000000 N N N N N N CREDIT SUISSE AG ANGGYXNX0JLX3X63JN86 N/A 8540000.00000000 PA USD 9448604.76000000 0.032734796623 Long EP CORP CH N 2 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A 117600000.00000000 NC USD 1720256.33000000 0.005959847250 N/A DIR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Call Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 N/A N/A NC USD N/A N/A DIR CORP US 2029-10-30 0.00000000 USD 0.00000000 USD 117600000.00000000 USD 1.00000000 1.90500000 USD 2024-10-28 XXXX -1496103.67000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C04W5 9699.00990000 PA USD 10692.55000000 0.000037044458 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N HEALTHCARE TRUST OF AMERICA HOLDINGS LP 549300IYGAS4GE6VDL07 42225UAD6 5039000.00000000 PA USD 5460182.65000000 0.018916863718 Long DBT CORP US N 2 2026-08-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206JGQ1 328.90540000 PA USD 363.05000000 0.000001257790 Long ABS-MBS USGA US N 2 2025-10-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241K3M8 3831.91260000 PA USD 4371.37000000 0.000015144660 Long ABS-MBS USGA US N 2 2039-03-15 Fixed 0.05500000 N N N N N N PROGRESS RESIDENTIAL 2017-SFR TR N/A 74333KAL2 160000.00000000 PA USD 162558.50000000 0.000563185737 Long ABS-CBDO CORP US N 2 2034-12-17 Fixed 0.04836000 N N N N N N GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS N/A 38375BNX6 1391617.38880000 PA USD 1398949.82000000 0.004846677261 Long ABS-CBDO USGA US N 2 2061-11-20 Variable 0.02434380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209KXV5 493.24630000 PA USD 535.14000000 0.000001853998 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N ALLERGAN FUNDING SCS 222100FLFVOSKCBCAR54 00507UAR2 30800000.00000000 PA USD 31905659.63000000 0.110537513806 Long DBT CORP LU N 2 2022-03-15 Fixed 0.03450000 N N N N N N FORD CR FLOORPLAN MAST OWN TR N/A 34528PAK2 11770000.00000000 PA USD 13512247.19000000 0.046813331165 Long ABS-CBDO CORP US N 2 2030-11-15 Fixed 0.04060000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128E35Z3 16090.23460000 PA USD 17771.98000000 0.000061571223 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31365EBN2 143.21670000 PA USD 152.81000000 0.000000529411 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 0.07000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2011-C3 N/A 46635TBK7 368000.00000000 PA USD 315700.87000000 0.001093749186 Long ABS-MBS CORP US N 2 2046-02-15 Variable 0.04409000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207YQ29 177.11860000 PA USD 195.97000000 0.000000678940 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N MCAFEE LLC 549300713UKUTLV9T378 57906PAG4 5816431.83000000 PA USD 5749193.88000000 0.019918146349 Long LON CORP US N 2 2024-09-29 Variable 0.05353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31414HFC6 22240.72250000 PA USD 26398.25000000 0.000091457031 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 0.06000000 N N N N N N JPMBB COML MTG SECS TR 2014-C26 N/A 46643TAL6 758000.00000000 PA USD 759520.70000000 0.002631367940 Long ABS-MBS CORP US N 2 2048-01-15 Variable 0.03881540 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419KCY9 253236.83400000 PA USD 275335.72000000 0.000953903674 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132QT3J3 1537114.25590000 PA USD 1657516.42000000 0.005742484132 Long ABS-MBS USGSE US N 2 2045-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31385WWD7 1043.75940000 PA USD 1214.67000000 0.000004208237 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225B6P8 12032.96960000 PA USD 13310.32000000 0.000046113752 Long ABS-MBS USGA US N 2 2033-11-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208UEU7 358.81310000 PA USD 405.98000000 0.000001406522 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225A2J8 577.99620000 PA USD 649.25000000 0.000002249333 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140E9SA5 296326.55480000 PA USD 313373.10000000 0.001085684601 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 0.03500000 N N N N N N FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES N/A 3136FCEU6 49410.03270000 PA USD 11723.14000000 0.000040614949 Long ABS-CBDO USGSE US N 2 2034-08-25 Variable 0.06500000 N N N N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 N/A 6820000.00000000 PA 9466103.80000000 0.032795422242 Long DBT CORP GB N 2 2026-06-18 Fixed 0.03375000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31375DBF9 1710.37920000 PA USD 1928.11000000 0.000006679958 Long ABS-MBS USGSE US N 2 2028-02-01 Fixed 0.07000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-AON N/A 46649XAU1 743000.00000000 PA USD 767966.73000000 0.002660629305 Long ABS-MBS CORP US N 2 2031-07-05 Variable 0.04613200 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207YB74 404.98200000 PA USD 452.03000000 0.000001566062 Long ABS-MBS USGA US N 2 2027-07-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225B5F1 343479.92510000 PA USD 380655.48000000 0.001318785157 Long ABS-MBS USGA US N 2 2034-05-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31413AKN2 9232.23220000 PA USD 10102.09000000 0.000034998803 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.06500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E5GU6 114241.52770000 PA USD 124452.76000000 0.000431167975 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297ETU9 5661.17330000 PA USD 6572.03000000 0.000022768871 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.06000000 N N N N N N TANGER PPTYS LTD PARTNERSHIP PQPGJDNFN35EXH363L31 875484AH0 15395000.00000000 PA USD 16252881.91000000 0.056308290734 Long DBT CORP US N 2 2024-12-01 Fixed 0.03750000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208T5S5 1873.62700000 PA USD 2121.88000000 0.000007351276 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N BARBADOS GOVT OF 529900UD1KUUS4SFD905 067070AH5 1645000.00000000 PA USD 1742157.81000000 0.006035725172 Long DBT NUSS BB N 2 2029-10-01 Fixed 0.06500000 N N N N N N LEVEL 3 FINANCING INC N/A 527298BH5 1758000.00000000 PA USD 1794619.14000000 0.006217478035 Long DBT CORP US N 2 2025-05-01 Fixed 0.05375000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179R4F3 387405.80600000 PA USD 413870.50000000 0.001433858965 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 0.04000000 N N N N N N AT and T INC 549300Z40J86GGSTL398 00206RJD5 7512000.00000000 PA USD 10139800.14000000 0.035129450729 Long DBT CORP US N 2 2040-03-15 Fixed 0.06200000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407NF24 7441.56070000 PA USD 8781.39000000 0.000030423223 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416VBU7 480268.06350000 PA USD 525492.51000000 0.001820574664 Long ABS-MBS USGSE US N 2 2039-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371MPA9 11983.35830000 PA USD 13197.48000000 0.000045722816 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36202UEP4 2123.91580000 PA USD 2387.37000000 0.000008271070 Long ABS-MBS USGA US N 2 2034-01-15 Fixed 0.05500000 N N N N N N SYNCHRONY FINANCIAL 549300RS7EWPM9MA6C78 87165BAN3 7611000.00000000 PA USD 8202129.40000000 0.028416368829 Long DBT CORP US N 2 2024-03-19 Fixed 0.04375000 N N N N N N TRIVIUM PACKAGING FINANCE BV 724500GMZWW3PVYET548 89686QAB2 945000.00000000 PA USD 999734.40000000 0.003463590984 Long DBT CORP NL N 2 2027-08-15 Fixed 0.08500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L6BT7 333137.45510000 PA USD 360585.48000000 0.001249252419 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 0.04000000 N N N N N N JPMBB COML MTG SECS TR 2015-C30 N/A 46644UBC1 46268242.91300000 PA USD 1129893.63000000 0.003914529089 Long ABS-MBS CORP US N 2 2048-07-15 Variable 0.00515415 N N N N N N PAREXEL INTERNATIONAL CORP 549300GCZVUYB6P2OA17 69946EAT8 604969.26100000 PA USD 585809.88000000 0.002029544866 Long LON CORP US N 2 2024-09-27 Variable 0.04353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YEHA8 342039.61030000 PA USD 369298.56000000 0.001279438981 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 0.04000000 N N N N N N JBS USA LUX SA P77IMDGVZE8EFBTF2M92 46611VAU9 5136187.50000000 PA USD 5043119.78000000 0.017471944751 Long LON CORP LU N 2 2026-05-01 Variable 0.03603380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36225BSV1 91805.03780000 PA USD 106220.53000000 0.000368002211 Long ABS-MBS USGA US N 2 2032-04-20 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36230UDD8 38036.38340000 PA USD 40478.59000000 0.000140238526 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 0.03500000 N N N N N N IAA INC 549300PZCOPC5178W747 44932UAB0 1451250.00000000 PA USD 1443993.75000000 0.005002732459 Long LON CORP US N 2 2026-06-29 Variable 0.03875000 N N N N N N ILLINOIS ST N/A 452152FA4 11345000.00000000 PA USD 14220163.35000000 0.049265914601 Long DBT MUN US N 2 2035-04-01 Fixed 0.06725000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418A4V7 138252.55230000 PA USD 143722.75000000 0.000497929071 Long ABS-MBS USGSE US N 2 2028-12-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371G2G4 923.87560000 PA USD 1057.01000000 0.000003662022 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203FXW0 78.78130000 PA USD 84.62000000 0.000000293166 Long ABS-MBS USGA US N 2 2023-07-15 Fixed 0.07500000 N N N N N N FRONTDOOR INC 5493008RB0JZJI3QGZ06 35905AAA7 2244000.00000000 PA USD 2455620.42000000 0.008507524346 Long DBT CORP US N 2 2026-08-15 Fixed 0.06750000 N N N N N N DISH DBS CORP N/A 25470XAY1 863000.00000000 PA USD 927345.28000000 0.003212798070 Long DBT CORP US N 2 2026-07-01 Fixed 0.07750000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307AH0 2729000.00000000 PA USD 2947320.00000000 0.010211023027 Long DBT CORP US N 2 2024-06-01 Fixed 0.05250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128K5WC2 31188.53700000 PA USD 36879.66000000 0.000127769993 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31404TRP0 27465.05620000 PA USD 30070.66000000 0.000104180137 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36201JE88 1286.19170000 PA USD 1499.33000000 0.000005194445 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3622A22Y7 17964174.64970000 PA USD 19292808.60000000 0.066840150673 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36290SK42 5164.37590000 PA USD 5716.23000000 0.000019803942 Long ABS-MBS USGA US N 2 2033-10-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224EXL2 457.60740000 PA USD 480.46000000 0.000001664559 Long ABS-MBS USGA US N 2 2022-06-15 Fixed 0.08000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2018-WPT N/A 46645WBC6 2322000.00000000 PA USD 2520411.18000000 0.008731992657 Long ABS-MBS CORP US N 2 2033-07-05 Fixed 0.04949800 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202DS36 113996.05460000 PA USD 129517.91000000 0.000448716244 Long ABS-MBS USGA US N 2 2032-05-20 Fixed 0.06000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3129455L8 63590.31220000 PA USD 70362.29000000 0.000243770938 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36204N3P0 200.09920000 PA USD 211.11000000 0.000000731392 Long ABS-MBS USGA US N 2 2025-09-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209G7K7 342.01680000 PA USD 385.26000000 0.000001334737 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31398MGQ3 187.59550000 PA USD 1.06000000 0.000000003672 Long ABS-CBDO USGSE US N 2 2021-06-25 Fixed 0.04500000 N N N N N N DELL INTERNATIONAL LLC N/A 24702NBE9 2743125.00000000 PA USD 2707985.57000000 0.009381846224 Long LON CORP US N 2 2025-09-19 Variable 0.03610000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31287QTE1 609.62130000 PA USD 728.42000000 0.000002523619 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138ENDS5 317330.44000000 PA USD 346900.34000000 0.001201840098 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31283HRL1 20563.76960000 PA USD 23923.05000000 0.000082881673 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07000000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 N/A 987373.75000000 PA USD 957752.54000000 0.003318144361 Long LON CORP FR N 2 2026-01-31 Variable 0.05346000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224JLH3 232.00970000 PA USD 242.68000000 0.000000840767 Long ABS-MBS USGA US N 2 2022-09-15 Fixed 0.08000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203UTF9 97.45010000 PA USD 104.51000000 0.000000362076 Long ABS-MBS USGA US N 2 2023-05-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31287MT59 91120.94510000 PA USD 105626.74000000 0.000365945019 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.06500000 N N N N N N UNUM GROUP 549300E32YFDO6TZ8R31 91529YAK2 12741000.00000000 PA USD 13815772.66000000 0.047864898543 Long DBT CORP US N 2 2024-03-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390HRU1 498.31590000 PA USD 590.95000000 0.000002047352 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36205AVX9 635.66120000 PA USD 716.05000000 0.000002480763 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.07500000 N N N N N N LAUREATE EDUCATION INC 5JL7TMOH5TY3IUYSUP91 518613AJ3 6345000.00000000 PA USD 6726524.85000000 0.023304120400 Long DBT CORP US N 2 2025-05-01 Fixed 0.08250000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 369604BR3 300000.00000000 PA 332922.59000000 0.001153414027 Long DBT CORP US N 2 2022-05-17 Fixed 0.00375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180CDU0 66435.11300000 PA USD 69633.05000000 0.000241244478 Long ABS-MBS USGA US N 2 2043-05-15 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371FDT6 163.93610000 PA USD 180.77000000 0.000000626279 Long ABS-MBS USGSE US N 2 2025-12-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402RAQ2 48426.99060000 PA USD 56083.31000000 0.000194301253 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.06500000 N N N N N N UKRAINE CABINET OF MINISTERS 6354001WLTJXOMEXPY07 903724BM3 1000000.00000000 PA USD 1073125.00000000 0.003717853536 Long DBT NUSS UA N 2 2032-09-25 Fixed 0.07375000 N N N N N N BENCHMARK 2018-B7 MTG TR N/A 08162TAL7 1365000.00000000 PA USD 1122076.55000000 0.003887446728 Long ABS-MBS CORP US N 2 2053-05-15 Variable 0.03610272 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402RR84 32.48310000 PA USD 32.74000000 0.000000113428 Long ABS-MBS USGSE US N 2 2020-08-01 Fixed 0.06500000 N N N N N N GS MTG SECS CORP TR 2019 5493005BBCF84ICNQ550 36257HAA4 924000.00000000 PA USD 869592.57000000 0.003012713162 Long ABS-MBS CORP US N 2 2052-07-10 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31406PCX5 8738.77230000 PA USD 9190.78000000 0.000031841559 Long ABS-MBS USGSE US N 2 2035-03-01 Variable 0.04833000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208NB69 334.24130000 PA USD 375.25000000 0.000001300057 Long ABS-MBS USGA US N 2 2027-09-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207FB59 28257.47590000 PA USD 31090.29000000 0.000107712656 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209N3Q3 217.86750000 PA USD 251.04000000 0.000000869730 Long ABS-MBS USGA US N 2 2029-09-15 Fixed 0.07000000 N N N N N N CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 N/A 16200000.00000000 NC USD 29829.06000000 0.000103343111 N/A DCR CORP GB N 2 CITIGROUP GLOBAL MARKETS LIMITED XKZZ2JZF41MRHTR1V493 CMBX AAA CDSI S11 PRC INDX CMBX0AAA Y 2054-11-18 82542.73000000 USD 0.00000000 USD 16200000.00000000 USD -52713.67000000 N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36213GT43 1997.74250000 PA USD 2325.05000000 0.000008055161 Long ABS-MBS USGA US N 2 2031-11-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312943CX9 212561.07880000 PA USD 235263.96000000 0.000815074614 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 0.04500000 N N N N N N TURKEY REPUBLIC OF 5493000PCHOG3B6S3Q85 900123BZ2 11590000.00000000 PA USD 11948565.63000000 0.041395938952 Long DBT NUSS TR N 2 2022-09-26 Fixed 0.06250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132J4AU3 1118892.21400000 PA USD 1199148.56000000 0.004154463566 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403Q5D8 151406.27550000 PA USD 165493.92000000 0.000573355532 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138NWAR0 315596.67650000 PA USD 334541.57000000 0.001159023002 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M5QS4 503098.47680000 PA USD 551487.19000000 0.001910633523 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31396JPR0 205197.37990000 PA USD 191207.62000000 0.000662440933 Long ABS-CBDO USGSE US N 2 2036-03-15 Fixed 0.00000000 N N N N N N WFRBS COML MTG TR 2011-C3 N/A 92935VAW8 761000.00000000 PA USD 38011.04000000 0.000131689672 Long ABS-MBS CORP US N 2 2044-03-15 Fixed 0.05000000 N N N N N N CERIDIAN HCM HLDG INC 549300T64GVCHFJ8L449 15677GAF1 2202125.00000000 PA USD 2169093.13000000 0.007514847352 Long LON CORP US N 2 2025-04-30 Variable 0.04145250 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XW5K3 24811.42100000 PA USD 26224.09000000 0.000090853652 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208LLZ8 186.82630000 PA USD 211.58000000 0.000000733021 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 0.07000000 N N N N N N S2P ACQUISITION BORROWER INC 2138009YGPT15LRTY307 78431EAB0 1122187.50000000 PA USD 1112839.68000000 0.003855445488 Long LON CORP US N 2 2026-08-14 Variable 0.05603380 N N N N N N TALEN ENERGY SUPPLY LLC K5K33XN0PQAU1XF7NN66 87422LAM2 374062.50000000 PA USD 367516.41000000 0.001273264703 Long LON CORP US N 2 2026-06-28 Variable 0.05353380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402QPF2 38888.54010000 PA USD 42504.70000000 0.000147258007 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LA48 147815.12870000 PA USD 165205.82000000 0.000572357406 Long ABS-MBS USGA US N 2 2039-07-15 Fixed 0.05000000 N N N N N N MORGAN STANLEY BK AMER MERRILL LYNCH TR 2013-C8 N/A 61761QAN3 504000.00000000 PA USD 520654.02000000 0.001803811661 Long ABS-MBS CORP US N 2 2048-12-15 Variable 0.04056402 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36295GXH0 12707.62800000 PA USD 14254.67000000 0.000049385463 Long ABS-MBS USGA US N 2 2037-12-15 Fixed 0.05000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31384DJC7 3573.61940000 PA USD 4203.92000000 0.000014564527 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 0.07500000 N N N N N N FOX CORPORATION 549300DDU6FDRBIELS05 35137LAC9 5868000.00000000 PA USD 6880865.15000000 0.023838834092 Long DBT CORP US N 2 2029-01-25 Fixed 0.04709000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A 81400000.00000000 NC USD 4978895.31000000 0.017249438358 N/A DIR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 Put Purchased JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 N/A N/A NC USD N/A N/A DIR CORP US 2029-06-10 0.00000000 USD 0.00000000 USD 81400000.00000000 USD 1.00000000 2.31300000 USD 2024-06-06 XXXX 2610562.31000000 N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31359VU27 102010.65170000 PA USD 115209.13000000 0.000399143316 Long ABS-CBDO USGSE US N 2 2029-06-25 Fixed 0.06000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418BM45 218535.72600000 PA USD 227182.46000000 0.000787076167 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 0.03000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128E37F5 6234.13440000 PA USD 6852.77000000 0.000023741498 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31417KTC1 9914.56970000 PA USD 10987.16000000 0.000038065138 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31416WC26 41050.64580000 PA USD 45001.67000000 0.000155908787 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 0.04500000 N N N N N N PROGRESS RESIDENTIAL 2019-SFR2 N/A 74333NAL6 208000.00000000 PA USD 216753.10000000 0.000750943533 Long ABS-CBDO CORP US N 2 2036-05-17 Fixed 0.04837000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E5RF7 119953.32530000 PA USD 130675.09000000 0.000452725307 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403QMV9 3846.93420000 PA USD 3986.39000000 0.000013810892 Long ABS-MBS USGSE US N 2 2033-10-01 Variable 0.03713000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C03D8 153196.14850000 PA USD 168889.16000000 0.000585118379 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD N/A 31397GRY8 960678.11580000 PA USD 242115.00000000 0.000838810119 Long ABS-CBDO USGSE US N 2 2037-04-15 Variable 0.05101500 N N N N N N CSMC 2018-SITE N/A 12690CAG8 2462000.00000000 PA USD 2639368.64000000 0.009144122104 Long ABS-MBS CORP US N 2 2036-04-15 Variable 0.04782040 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31418DC67 295992.70500000 PA USD 307377.68000000 0.001064913402 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 0.03500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31287RQL6 7467.33430000 PA USD 8821.76000000 0.000030563085 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138WUU92 75016.75310000 PA USD 79519.92000000 0.000275497650 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 0.03000000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BF2 7254000.00000000 PA USD 7618600.98000000 0.026394728107 Long DBT CORP US N 2 2022-06-12 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402RZM4 148311.85540000 PA USD 162171.89000000 0.000561846322 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407UHN0 19218.31500000 PA USD 22574.72000000 0.000078210369 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 0.06000000 N N N N N N NAVIENT CORP 54930067J0ZNOEBRW338 63938CAB4 475000.00000000 PA USD 486884.50000000 0.001686816783 Long DBT CORP US N 2 2024-10-25 Fixed 0.05875000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208RYX6 1394.94980000 PA USD 1583.87000000 0.000005487335 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138E6VH6 27430.29390000 PA USD 29781.16000000 0.000103177161 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XCSA4 17161579.97800000 PA USD 18570202.46000000 0.064336673637 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 0.04000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BN8 4061000.00000000 PA USD 4513942.70000000 0.015638604852 Long DBT CORP US N 2 2024-03-15 Fixed 0.05000000 N N N N N N TEVA PHARMACEUTICAL FIN CO BV 549300Q840R30TDKVK53 88165FAF9 221000.00000000 PA USD 219342.50000000 0.000759914538 Long DBT CORP CW N 2 2021-11-10 Fixed 0.03650000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620APKN4 30466.36470000 PA USD 33993.66000000 0.000117771414 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 0.05000000 N N N N N N GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS 549300M8ZYFG0OCMTT87 38377YTR1 259755.96340000 PA USD 19691.61000000 0.000068221802 Long ABS-CBDO USGA US N 2 2040-05-20 Fixed 0.04500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GKNL6 549933.92730000 PA USD 599368.86000000 0.002076520103 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 0.04000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224DD77 49.19530000 PA USD 51.44000000 0.000000178214 Long ABS-MBS USGA US N 2 2022-05-15 Fixed 0.07500000 N N N N N N MFA FINANCIAL INC YW72IMH2RRC8Z1TGLG58 55272X409 24975.00000000 NS USD 622701.68000000 0.002157356918 Long EP CORP US N 1 N N N TIVITY HEALTH INC U5UKZMHGMOP0CPFG4B24 88870TAG3 933734.94000000 PA USD 889382.53000000 0.003081275699 Long LON CORP US N 2 2026-03-08 Variable 0.06853380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GFYG6 104387.30590000 PA USD 115438.68000000 0.000399938594 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140Q7VR5 993476.56400000 PA USD 1071149.84000000 0.003711010573 Long ABS-MBS USGSE US N 2 2047-10-01 Fixed 0.04500000 N N N N N N TEACHERS INS and ANNUITY ASSN AMER O06XD7BJ4EPXNABVFN69 878091BD8 11520000.00000000 PA USD 15207947.60000000 0.052688104157 Long DBT CORP US N 2 2044-09-15 Fixed 0.04900000 N N N N N N GREEN ENERGY PARTNERS/STONEWALL LLC 549300BHYFK6M9HVNA29 39303NAB7 1894355.50000000 PA USD 1790165.95000000 0.006202049909 Long LON CORP US N 2 2021-11-13 Variable 0.07444630 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209QYM1 352.88350000 PA USD 407.34000000 0.000001411233 Long ABS-MBS USGA US N 2 2029-09-15 Fixed 0.08000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31403DLV9 187248.32090000 PA USD 220573.63000000 0.000764179802 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36297KCB5 6381.83280000 PA USD 7126.68000000 0.000024690462 Long ABS-MBS USGA US N 2 2039-09-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36209ACP3 374.38680000 PA USD 394.94000000 0.000001368274 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 0.07000000 N N N N N N WFRBS COML MTG TR 2013-UBS1 N/A 92938JAN2 830625.00000000 PA USD 877565.94000000 0.003040336991 Long ABS-MBS CORP US N 2 2046-03-15 Variable 0.04738331 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 312940EJ4 226228.79660000 PA USD 253721.41000000 0.000879020656 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132WDKY9 1011005.84970000 PA USD 1067130.32000000 0.003697084901 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 0.03000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402EZC5 103456.59600000 PA USD 113140.29000000 0.000391975797 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 0.04500000 N N N N N N WFRBS COML MTG TR 2012-C7 N/A 92936TAL6 421434.00000000 PA USD 225098.69000000 0.000779856923 Long ABS-MBS CORP US N 2 2045-06-15 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208FH45 115.73170000 PA USD 131.08000000 0.000000454128 Long ABS-MBS USGA US N 2 2027-08-15 Fixed 0.07500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L7A82 1084744.48270000 PA USD 1149725.99000000 0.003983238521 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36177PB53 55940.41070000 PA USD 60709.91000000 0.000210330160 Long ABS-MBS USGA US N 2 2042-01-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 313615SA5 93.86000000 PA USD 100.14000000 0.000000346936 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407WVZ3 89464.32210000 PA USD 105268.31000000 0.000364703234 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 0.06000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36241LDX1 12879.28920000 PA USD 14230.81000000 0.000049302800 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N RABOBANK NEDERLAND GLOBAL MEDIUM TERM NTS BOOK ENTRY REGS N/A 21684AAC0 16524000.00000000 PA USD 18347724.30000000 0.063565895570 Long DBT CORP NL N 2 2025-08-04 Fixed 0.04375000 N N N N N N FEDERAL HOME LOAN MORTGAGE COR PORATION S6XOOCT0IEG5ABCC6L87 3128QSBU9 60826.11500000 PA USD 63376.59000000 0.000219568903 Long ABS-MBS USGSE US N 2 2036-03-01 Variable 0.03599000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176MZD8 7719.57160000 PA USD 8387.39000000 0.000029058206 Long ABS-MBS USGA US N 2 2041-08-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379ED20 303.68440000 PA USD 339.79000000 0.000001177206 Long ABS-MBS USGSE US N 2 2028-07-01 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31419JFQ6 230003.61800000 PA USD 250075.04000000 0.000866387766 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138AU2T3 111394.08150000 PA USD 121350.80000000 0.000420421200 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138XVS35 21189.21520000 PA USD 23097.48000000 0.000080021477 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371NL37 18677.31960000 PA USD 20657.88000000 0.000071569455 Long ABS-MBS USGSE US N 2 2027-10-01 Fixed 0.06500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208CKY2 201.19040000 PA USD 228.11000000 0.000000790289 Long ABS-MBS USGA US N 2 2027-06-15 Fixed 0.07500000 N N N N N N STARWOOD WAYPOINT HOMES 2017-1 TR N/A 85572MAE0 954000.00000000 PA USD 954694.23000000 0.003307548812 Long ABS-CBDO CORP US N 2 2035-01-17 Variable 0.04258500 N N N N N N JPMDB COML MTG SECS TR 2016-C4 N/A 46646RAQ6 603000.00000000 PA USD 613087.29000000 0.002124047757 Long ABS-MBS CORP US N 2 2049-12-15 Variable 0.03090275 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31377YTJ4 375.59140000 PA USD 428.93000000 0.000001486032 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 0.07500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140H1BE9 97744.75800000 PA USD 100644.27000000 0.000348683196 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 0.02500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132L7CX5 2189959.59920000 PA USD 2319780.19000000 0.008036904353 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 0.03500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AQYL1 146179.55780000 PA USD 161153.81000000 0.000558319172 Long ABS-MBS USGA US N 2 2040-02-15 Fixed 0.04500000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TV69 8327045.89600000 PA USD 8794402.18000000 0.030468304484 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 0.04000000 N N N N N N VALARIS PLC 7N0UJMJLXD0MDT5D5086 91889DAF3 4970000.00000000 PA USD 1518981.10000000 0.005262526970 Long DBT CORP GB N 2 2044-10-01 Fixed 0.05750000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36202FQ58 37746.10800000 PA USD 40219.33000000 0.000139340317 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 0.03500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3140F8TH0 1034093.20230000 PA USD 1109073.03000000 0.003842395888 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31390J6F3 3169.94110000 PA USD 3723.45000000 0.000012899934 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36296QVF3 12554.22020000 PA USD 14031.24000000 0.000048611387 Long ABS-MBS USGA US N 2 2039-06-15 Fixed 0.05000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3139644Z8 1334.99380000 PA USD 1417.73000000 0.000004911741 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 0.08500000 N N N N N N CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1 N/A 14855MAB4 8938847.42400000 PA USD 9303231.49000000 0.032231149307 Long ABS-CBDO CORP US N 2 2039-04-15 Fixed 0.05095000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TAM7 24328243.68600000 PA USD 25953854.50000000 0.089917418520 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 0.04500000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 88233FAK6 7908676.44100000 PA USD 7809817.99000000 0.027057201572 Long LON CORP US N 2 2025-12-31 Variable 0.03364000 N N N N N N 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC N/A 68245XAE9 3361000.00000000 PA USD 3376393.38000000 0.011697552540 Long DBT CORP CA N 2 2025-10-15 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207BSY7 457.19490000 PA USD 518.67000000 0.000001796938 Long ABS-MBS USGA US N 2 2028-01-15 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XWEC1 244509.52500000 PA USD 264664.79000000 0.000916934118 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 0.04500000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XAS3 6685000.00000000 PA USD 6825788.64000000 0.023648020908 Long DBT CORP US N 2 2021-06-01 Fixed 0.03375000 N N N N N N ENERGY TRANSFER OPERATING MLP 5493008K8W3OKZE54J59 29278NAD5 7006000.00000000 PA USD 7825113.57000000 0.027110193279 Long DBT CORP US N 2 2038-06-15 Fixed 0.05800000 N N N N N N BUZZ MERGER SUB LTD N/A N/A 635000.00000000 PA USD 622300.00000000 0.002155965293 Long LON CORP BM N 2 2027-01-29 Variable 0.04353380 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NAL9 4925000.00000000 PA USD 5493053.29000000 0.019030744417 Long DBT CORP CA N 2 2026-12-01 Fixed 0.04250000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36206XV91 207.12520000 PA USD 221.71000000 0.000000768116 Long ABS-MBS USGA US N 2 2026-01-15 Fixed 0.07000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371G6V7 402.99910000 PA USD 463.91000000 0.000001607221 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 0.07500000 N N N N N N GS MTG SECS CORP TR 2019 5493005BBCF84ICNQ550 36258YAY4 735000.00000000 PA USD 685855.92000000 0.002376155487 Long ABS-MBS CORP US N 2 2039-12-13 Fixed 0.03218540 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620ADCC4 8736.33870000 PA USD 9642.19000000 0.000033405474 Long ABS-MBS USGA US N 2 2039-11-15 Fixed 0.04500000 N N N N N N AKELIUS RESIDENTIAL AB 213800REBFN6T3PU8L97 N/A 100000.00000000 PA 115362.77000000 0.000399675603 Long DBT CORP SE N 2 2078-10-05 Variable 0.03875000 N N N N N N ANHEUSER BUSCH INBEV WORLDWIDE INC 549300CRGMZK3K53BF92 03523TBU1 18170000.00000000 PA USD 23666787.67000000 0.081993849968 Long DBT CORP US N 2 2039-01-23 Fixed 0.05450000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36212WPT8 60384.56170000 PA USD 66570.20000000 0.000230633200 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.04500000 N N N N N N WILLIAMS PARTNERS LP N/A 96950FAQ7 16989000.00000000 PA USD 18254102.36000000 0.063241541314 Long DBT CORP US N 2 2025-01-15 Fixed 0.03900000 N N N N N N CSN RESOURCES SA 222100ZEX458NMOXZP08 12644VAB4 5285000.00000000 PA USD 5285000.00000000 0.018309941472 Long DBT CORP LU N 2 2023-02-13 Fixed 0.07625000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36180DTM9 36584.39900000 PA USD 38196.81000000 0.000132333274 Long ABS-MBS USGA US N 2 2043-04-15 Fixed 0.03000000 N N N N N N FORD MTR CR CO LLC UDSQCVRUX5BONN0VY111 345397ZX4 77591000.00000000 PA USD 79065142.87000000 0.273922069719 Long DBT CORP US N 2 2024-11-01 Fixed 0.04063000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 N/A 8000000.00000000 PA USD 7906640.00000000 0.027392642506 Long LON CORP US N 2 2027-02-04 Variable 0.00000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402UU34 70113.41480000 PA USD 76724.20000000 0.000265811847 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31379FYH1 384.09450000 PA USD 432.06000000 0.000001496876 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 0.07000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31335GP74 42.05410000 PA USD 47.62000000 0.000000164980 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 0.08500000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132GDN24 13218.89600000 PA USD 14730.32000000 0.000051033358 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.05000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36203LGA4 192.39770000 PA USD 205.35000000 0.000000711437 Long ABS-MBS USGA US N 2 2023-05-15 Fixed 0.07500000 N N N N N N MAVERICK PURCHASER SUB LLC N/A N/A 2270000.00000000 PA USD 2261487.50000000 0.007834948678 Long LON CORP US N 2 2027-01-23 Variable 0.05762380 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132M54H2 45044.14840000 PA USD 48727.30000000 0.000168816274 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 0.04000000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132JBDL4 297264.07430000 PA USD 322127.98000000 0.001116015981 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 0.04000000 N N N N N N ODEBRECHT FINANCE LTD N/A 675758AJ5 2456000.00000000 PA USD 123107.00000000 0.000426505575 Long DBT CORP KY N 2 2042-06-26 Fixed 0.07125000 Y Y N N N N UST NOTES 254900HROIFWPRGM1V77 912828N71 175556600.00000000 PA USD 200509949.86000000 0.694668958675 Long DBT UST US N 2 2026-01-15 Fixed 0.00625000 N N N N N N LANARK MASTER ISSUER PLC 213800KIOPB5OYXIVY33 513770BD8 42614000.00000000 PA USD 43330639.64000000 0.150119484536 Long ABS-CBDO CORP GB N 2 2069-12-22 Variable 0.02710000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208JV41 1695.48690000 PA USD 1939.88000000 0.000006720735 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N VEDANTA RESOURCES PLC 2138007MYEKPEAZQTW83 92241TAK8 6245000.00000000 PA USD 5778576.56000000 0.020019942972 Long DBT CORP GB N 2 2022-07-30 Fixed 0.06375000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AMTD4 11825.31640000 PA USD 12822.46000000 0.000044423555 Long ABS-MBS USGA US N 2 2041-01-15 Fixed 0.04000000 N N N N N N ARTERRA WINES CANADA INC N/A N/A 1236071.25000000 PA USD 1228370.53000000 0.004255703407 Long LON CORP CA N 2 2023-12-16 Variable 0.04652500 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31292LBA2 33882.61440000 PA USD 36970.76000000 0.000128085610 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138YDBP3 123940.80980000 PA USD 133934.50000000 0.000464017569 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 0.04000000 N N N N N N J P MORGAN CHASE COML MTG SECS TR 2011-C4 N/A 46636DBG0 420000.00000000 PA USD 359635.63000000 0.001245961653 Long ABS-MBS CORP US N 2 2046-07-15 Fixed 0.03873000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36208MYV1 586.62490000 PA USD 662.99000000 0.000002296936 Long ABS-MBS USGA US N 2 2027-10-15 Fixed 0.07500000 N N N N N N ARAMARK SERVICES INC 42YMHYH0XMHJEXDUB065 03852JAR2 1750000.00000000 PA USD 1737977.50000000 0.006021242441 Long LON CORP US N 2 2027-01-15 Variable 0.03353380 N N N N N N TRICON AMERN HOMES 2018-SFR TR N/A 89613TAF5 1331000.00000000 PA USD 1425118.74000000 0.004937339776 Long ABS-CBDO CORP US N 2 2037-05-17 Fixed 0.04960000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 31287NDD7 9398.38670000 PA USD 10828.07000000 0.000037513969 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 0.06000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GHD4 14844000.00000000 PA USD 16039305.53000000 0.055568352982 Long DBT CORP US N 2 2028-12-20 Variable 0.03419000 N N N N N N EGYPT, (ARAB) REP OF 529900GFIVH4086NMH82 03846JW89 270000.00000000 PA USD 290334.38000000 0.001005866699 Long DBT NUSS EG N 2 2049-03-01 Fixed 0.08700200 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3132XYPZ4 2507607.46100000 PA USD 2711178.55000000 0.009392908339 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31373URK5 393.93270000 PA USD 436.92000000 0.000001513714 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 0.07000000 N N N N N N SUMMIT MIDSTREAM HOLDINGS LLC / SUMMIT MIDSTREAM FINANCE CORP N/A 86614WAD8 6817000.00000000 PA USD 5044580.00000000 0.017477003699 Long DBT CORP US N 2 2025-04-15 Fixed 0.05750000 N N N N N N NISOURCE FIN CORP ZHUWIE4VK4MIYES0UG62 65473QBB8 8116000.00000000 PA USD 10527438.66000000 0.036472428707 Long DBT CORP US N 2 2043-02-15 Fixed 0.05250000 N N N N N N FED HOME LOAN MTG CORP - GOLD N/A 3128E3WC4 13282.50380000 PA USD 14712.94000000 0.000050973144 Long ABS-MBS USGSE US N 2 2026-03-01 Fixed 0.07000000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36224PYC6 264.37840000 PA USD 284.41000000 0.000000985341 Long ABS-MBS USGA US N 2 2023-08-15 Fixed 0.07500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36176XCE7 129223.93820000 PA USD 140039.71000000 0.000485169137 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 0.04000000 N N N N N N JPMORGAN CHASE and CO 8I5DZWZKVSZI1NUHU748 46647PAU0 44260000.00000000 PA USD 47310586.86000000 0.163908056090 Long DBT CORP US N 2 2024-07-23 Variable 0.03797000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36207MK62 950.11940000 PA USD 1085.87000000 0.000003762008 Long ABS-MBS USGA US N 2 2027-12-15 Fixed 0.08000000 N N N N N N CHICAGO BOARD OF TRADE N/A N/A -221.00000000 NC USD -1493915.20000000 -0.00517568588 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Short UST NOTES UNDERLYING TREASURY 20 YR NOTEGENERIC IV FOR FUTURES TRADING 2020-06-19 -36131334.80000000 USD -1493915.20000000 N N N CHICAGO BOARD OF TRADE N/A N/A 208.00000000 NC USD 511122.36000000 0.001770789119 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UNDERLYING TREAS 5 YEAR NOTE GENERIC IV FOR FUTURES TRADING 2020-06-30 25020877.64000000 USD 511122.36000000 N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402ETE8 104635.18860000 PA USD 114186.48000000 0.000395600334 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31371HNH7 1123.44760000 PA USD 1305.79000000 0.000004523924 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 0.07500000 N N N N N N CIMPOR FINANCIAL OPERATIONS BV 213800IVMAMWIHPCZJ07 17186LAA1 2452000.00000000 PA USD 2042822.50000000 0.007077381346 Long DBT CORP NL N 2 2024-07-17 Fixed 0.05750000 N N N N N N AMERICAN HOMES 4 RENT 2014-SFR2 TR N/A 02665UAE5 221000.00000000 PA USD 245078.37000000 0.000849076747 Long ABS-CBDO CORP US N 2 2036-10-17 Fixed 0.06231000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31402ES33 136608.98810000 PA USD 149468.02000000 0.000517833623 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620C04M7 404665.82790000 PA USD 446118.74000000 0.001545583352 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A8TH9 3279.77250000 PA USD 3627.41000000 0.000012567202 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 0.04500000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411BTH6 1245.76610000 PA USD 1274.05000000 0.000004413960 Long ABS-MBS USGSE US N 2 2021-10-01 Fixed 0.05500000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SAR4 21453000.00000000 PA USD 25186674.11000000 0.087259513499 Long DBT CORP US N 2 2044-01-31 Fixed 0.05375000 N N N N N N GNMA II GTD PASS THRU CTF MULTIPLE ISSUER 549300M8ZYFG0OCMTT87 36179TXV2 59753394.11300000 PA USD 63065046.72000000 0.218489558071 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 0.04000000 N N N N N N WINK HOLDCO INC N/A 97417AAB6 1560347.60000000 PA USD 1529140.65000000 0.005297724844 Long LON CORP US N 2 2024-12-01 Variable 0.04603380 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31411JDH6 11522.71770000 PA USD 12022.46000000 0.000041651946 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 0.05000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BE6 9375000.00000000 PA USD 9925800.00000000 0.034388044856 Long DBT CORP US N 2 2026-03-15 Fixed 0.06250000 N N N N N N DISH NETWORK CORP 529900U350CWHH15G169 25470MAD1 3638000.00000000 PA USD 3382140.44000000 0.011717463293 Long DBT CORP US N 2 2024-03-15 Fixed 0.02375000 N N N N N DISH NETWORK CORP USD XXXX N N N FLEX ACQUISITION COMPANY INC 549300HHED2KGPBEDW39 33936HAH5 3899093.65000000 PA USD 3723634.44000000 0.012900573067 Long LON CORP US N 2 2025-06-29 Variable 0.05159380 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 36210EFA2 26859.47090000 PA USD 29124.34000000 0.000100901600 Long ABS-MBS USGA US N 2 2041-09-15 Fixed 0.04000000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 31407MSE6 5585.97480000 PA USD 5813.12000000 0.000020139619 Long ABS-MBS USGSE US N 2 2035-07-01 Variable 0.03440000 N N N N N N FEDERAL NAT MTG ASN GTD REM PA N/A 31397QKY3 1311235.90610000 PA USD 1510331.21000000 0.005232559330 Long ABS-CBDO USGSE US N 2 2041-02-25 Fixed 0.05000000 N N N N N N CALIFORNIA ST N/A 13063BBU5 1690000.00000000 PA USD 2753618.40000000 0.009539941672 Long DBT MUN US N 2 2039-11-01 Fixed 0.07350000 N N N N N N ADES INTERNATIONAL HOLDING PLC 213800WADXE5U3ZY1K46 N/A 1475000.00000000 PA USD 1512796.88000000 0.005241101671 Long DBT CORP AE N 2 2024-04-24 Fixed 0.08625000 N N N N N N FNMA GTD MTG PASS THRU CTF B1V7KEBTPIMZEU4LTD58 3138A57F3 147397.52410000 PA USD 163021.04000000 0.000564788212 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 0.04500000 N N N N N N GNMA GUARANTEED PASS THRU CERT 549300M8ZYFG0OCMTT87 3620AEAZ3 17449.49420000 PA USD 19469.74000000 0.000067453131 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 0.05000000 N N N N N N 2020-03-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer